Block-successive approximation for a discounted Markov decision model (Q2265958)
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scientific article; zbMATH DE number 3892968
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| English | Block-successive approximation for a discounted Markov decision model |
scientific article; zbMATH DE number 3892968 |
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Block-successive approximation for a discounted Markov decision model (English)
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1985
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We suggest a new successive approximation method to compute the optimal discounted reward for finite state and action, discrete time, discounted Markov decision chains. The method is based on a block partitioning of the (stochastic) matrices corresponding to the stationary policies. The method is particularly attractive when the transition matrices are jointly nearly decomposable or nearly completely decomposable.
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successive approximation
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optimal discounted reward
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finite state and action, discrete time, discounted Markov decision chains
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block partitioning
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stationary policies
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