A linear programming approach to nonstationary infinite-horizon Markov decision processes

DOI10.1287/OPRE.1120.1121MaRDI QIDQ5301136zbMATH OpenOpenAlexFDO

Authors Archis Ghate, Robert L. Smith

Publication date 2 July 2013

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/opre.1120.1121

zbMATH Keywords

dynamic programmingsimplex algorithminfinite linear programs

Mathematics Subject Classification ID

Linear programming (90C05) Markov and semi-Markov decision processes (90C40)

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Cited in

(30)

• Computing non-stationary \((s, S)\) policies using mixed integer linear programming
• Separable Markovian decision problems. The linear programming method in the multichain case
• Approximations of Countably Infinite Linear Programs over Bounded Measure Spaces
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• Circumventing the Slater conundrum in countably infinite linear programs
• On efficiency of linear programming applied to discounted Markovian decision problems
• An Infinite-Dimensional Linear Programming Algorithm for Deterministic Semi-Markov Decision Processes on Borel Spaces
• Duality in convex minimum cost flow problems on infinite networks and hypernetworks
• Decomposable Markov decision processes: A fluid optimization approach
• Singularly perturbed linear programs and Markov decision processes
• Dual-based methods for solving infinite-horizon nonstationary deterministic dynamic programs
• Nonstationary Markov decision processes with risk probability criteria
• Duality in Countably Infinite Monotropic Programs
• A Linearly Relaxed Approximate Linear Program for Markov Decision Processes
• Simplex algorithm for countable-state discounted Markov decision processes
• Extreme point characterization of constrained nonstationary infinite-horizon Markov decision processes with finite state space
• Linear programming formulation for non-stationary, finite-horizon Markov decision process models
• Zero-sum non-stationary stochastic games with the long-run average criterion
• An optimal control approach to day-to-day congestion pricing for stochastic transportation networks
• Constrained Markov decision processes with uncertain costs
• A simplex method for uncapacitated pure-supply infinite network flow problems
• Survey of linear programming for standard and nonstandard Markovian control problems. Part II: Applications
• The policy graph decomposition of multistage stochastic programming problems
• The Slater Conundrum: Duality and Pricing in Infinite-Dimensional Optimization
• Inverse optimization in countably infinite linear programs
• Dual Ascent and Primal-Dual Algorithms for Infinite-Horizon Nonstationary Markov Decision Processes
• Markov decision processes for infinite horizon problems solved with the cosine simplex method
• A simplex method for countably infinite linear programs
• Policy iteration for robust nonstationary Markov decision processes
• A linear programming based approach for composite-action Markov decision processes

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