Markov Branching Decision Chains with Interest-Rate-Dependent Rewards
From MaRDI portal
Publication:2805311
DOI10.1017/S0269964800003715zbMath1335.91121OpenAlexW1980094832MaRDI QIDQ2805311
Ying Huang, Arthur F. jun. Veinott
Publication date: 11 May 2016
Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0269964800003715
Linear programming (90C05) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Financial applications of other theories (91G80)
Cites Work
- Unnamed Item
- Computation of optimal policies in discounted semi-Markov decision chains
- A generalized inverse method for asymptotic linear programming
- Extreme points of Leontief substitution systems
- On Sequential Decisions and Markov Chains
- Optimal Solution of a Dynamic Leontief Model with Substitution
- Optimality of Piecewise-Constant Policies in Semi-Markov Decision Chains
- Constrained Undiscounted Stochastic Dynamic Programming
- Linear Programming and Markov Decision Chains
- Normalized Markov Decision Chains I; Sensitive Discount Optimality
- Markov-Renewal Programming. I: Formulation, Finite Return Models
- Discrete Dynamic Programming
- Markov Renewal Programming by Linear Fractional Programming
- Discrete Dynamic Programming with a Small Interest Rate
- Discrete Dynamic Programming with Sensitive Discount Optimality Criteria
- Computing a Bias-Optimal Policy in a Discrete-Time Markov Decision Problem
- Multichain Markov Renewal Programs
- Markov Renewal Programs with Small Interest Rates
- Constrained Markov Decision Chains
- Stochastic Games