Sensitivity analysis in discrete dynamic programming
From MaRDI portal
The problem of characterizing the minimum perturbations to parameters in future stages of a discrete dynamic program necessary to change the optimal first policy is considered. Lower bounds on these perturbations are derived and used to establish ranges for the reward functions over which the optimal first policy is robust. A numerical example is presented to illustrate factors affecting the tightness of these bounds.
Recommendations
- scientific article; zbMATH DE number 3987072
- Sensitivity analysis in discounted Markovian decision problems
- Sensitivity analysis in a class of dynamic optimization models
- Sensitivity analysis for discrete optimal control problems
- Sensitivity analysis in Markov decision processes with uncertain reward parameters
Cites work
- A New Optimality Criterion for Nonhomogeneous Markov Decision Processes
- Discounting, Ergodicity and Convergence for Markov Decision Processes
- scientific article; zbMATH DE number 3634009 (Why is no real title available?)
- Non-negative matrices and Markov chains. 2nd ed
- Scheduling to Minimize Interaction Cost
- Technical Note—Identifying Forecast Horizons in Nonhomogeneous Markov Decision Processes
- The Tolerance Approach to Sensitivity Analysis in Linear Programming
Cited in
(6)- Sensitivity analysis in a class of dynamic optimization models
- Sensitivity analysis of a sequential decision problem with learning
- Multiaction maintenance subject to action-dependent risk and stochastic failure
- Sensitivity analysis in Markov decision processes with uncertain reward parameters
- scientific article; zbMATH DE number 3987072 (Why is no real title available?)
- Exponential decay in the sensitivity analysis of nonlinear dynamic programming
This page was built for publication: Sensitivity analysis in discrete dynamic programming
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1090253)
