Discrete Dynamic Programming with a Small Interest Rate

DOI10.1214/AOMS/1177697700MaRDI QIDQ5565564zbMATH OpenOpenAlexFDO

Authors Bruce L. Miller, Arthur F. jun. Veinott

Publication date 1969

Published in Annals of Mathematical Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aoms/1177697700

zbMATH Keywords

operations research

Mathematics Subject Classification ID

Dynamic programming (90C39) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cited in

(30)

• Sensitivity analysis in discounted Markovian decision problems
• Variational characterizations in Markov decision processes
• Asymptotic expansions for dynamic programming recursions with general nonnegative matrices
• Strong 1-optimal stationary policies in denumerable Markov decision processes
• Nonstationary Markov decision problems with converging parameters
• Optimal control of Markov chains admitting strong and weak interactions
• Resolvent expansions of matrices and applications
• Denumerable semi-Markov decision chains with small interest rates
• On the convergence of the average expected return in dynamic programming
• An optimality principle for Markovian decision processes
• Are limits of -discounted optimal policies Blackwell optimal? A counterexample
• A canonical form for pencils of matrices with applications to asymptotic linear programs
• An efficient basis update for asymptotic linear programming
• Blackwell optimality in the class of Markov policies for continuous-time controlled Markov chains
• Finite state multi-armed bandit problems: Sensitive-discount, average-reward and average-overtaking optimality
• Markov branching decision chains with interest-rate-dependent rewards
• Transient policies in discrete dynamic programming: Linear programming including suboptimality tests and additional constraints
• A Fixed Point Approach to Undiscounted Markov Renewal Programs
• A mixed value and policy iteration method for stochastic control with universally measurable policies
• MARKOV DECISION PROCESSES
• On the functional equations in undiscounted and sensitive discounted stochastic games
• scientific article; zbMATH DE number 3469604 (Why is no real title available?)
• Solution of continuous-time markovian decision models using infinite linear programming
• Survey of linear programming for standard and nonstandard Markovian control problems. Part I: Theory
• Simultaneous recurrent conditions on countable state Markov chains
• Blackwell optimal policies in a Markov decision process with a Borel state space
• Maximum-stopping-value policies in finite Markov population decision chains
• Stochastic Inventory Models with Limited Production Capacity and Periodically Varying Parameters
• Generalized eigenvectors and sets of nonnegative matrices
• A survey of recent results on continuous-time Markov decision processes (with comments and rejoinder)

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