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Optimal greedy policies for stochastic control models (1996)

Liebig, Thilo ; Rieder, Ulrich

Springer

Mathematical methods of operations research 44 (1996), S. 115-133

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ISSN: 1432-5217

Keywords: Stochastic control models ; greedy policies ; error bounds ; MDP with an absorbing set ; deterministic dynamic programming

Source: Springer Online Journal Archives 1860-2000

Topics: Mathematics , Economics

Notes: Abstract We introduce the notion of a greedy policy for general stochastic control models. Sufficient conditions for the optimality of the greedy policy for finite and infinite horizon are given. Moreover, we derive error bounds if the greedy policy is not optimal. The main results are illustrated by Bayesian information models, discounted Bayesian search problems, stochastic scheduling problems, single-server queueing networks and deterministic dynamic programs.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1007/BF01246332

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