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  • 1
    Electronic Resource
    Electronic Resource
    Sensitivity-analysis in discounted Markovian decision problems (1985)
    Springer
    OR spectrum 7 (1985), S. 143-151 
    Details
    ISSN: 1436-6304
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Description / Table of Contents: Zusammenfassung Diese Arbeit befaßt sich mit diskreten Markoffschen Entscheidungsmodellen mit endlichen Zustands- und Aktionsräumen. Ein lineares Programm wird entwickelt für die Berechnung von optimalen Politiken über den ganzen Bereich des Diskontierungsfaktors. Anschließend wird ein Verfahren angegeben für die Bestimmung einer Blackwell-optimalen Politik.
    Notes: Summary This paper deals with a finite-state, finiteaction discrete-time Markov decision model. A linear programming procedure is developed for the computation of optimal policies over the entire range of the discount factor. Furthermore, a procedure is presented for the computation of a Blackwell optimal policy.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01721353
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    Paper (German National Licenses)
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  • 2
    Electronic Resource
    Electronic Resource
    Survey of linear programming for standard and nonstandard Markovian control problems. Part I: Theory (1994)
    Springer
    Mathematical methods of operations research 40 (1994), S. 1-42 
    Details
    ISSN: 1432-5217
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract This paper gives an overview of linear programming methods for solving standard and nonstandard Markovian control problems. Standard problems are problems with the usual criteria such as expected total (discounted) rewards and average expected rewards; we also discuss a particular class of stochastic games. In nonstandard problems there are additional considerations as side constraints, multiple criteria or mean-variance tradeoffs. In a second companion paper efficient linear programing algorithms are discussed for some applications.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01414028
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    Paper (German National Licenses)
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  • 3
    Electronic Resource
    Electronic Resource
    Survey of linear programming for standard and nonstandard Markovian control problems. Part II: Applications (1994)
    Springer
    Mathematical methods of operations research 40 (1994), S. 127-143 
    Details
    ISSN: 1432-5217
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract This paper deals with some applications of Markov decision models for which the linear programming method is efficient. These models are replacement models (with the optimal stopping problem as special case), separable models (including the inventory model as special case) and the multi-armed bandit model. In the companion paper “Survey of linear programming for standard and nonstandard Markovian control problems. Part I: Theory”, general linear programming methods are discussed. These linear programming formulations are the starting point for the efficient methods that will be derived for the special models.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01432805
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    Paper (German National Licenses)
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