Separable Markovian decision problems
Expert InsightsPublished 1967
The special structure of a class of Markovian decision problems is exploited to simplify the determination of optimum policies. For certain pairs consisting of state [i] and decision [k], the immediate expected cost separates into one component that depends only on the state and another that depends only on the decision. At the same time, the probability that the next state observed will be state [j], and the conditional cumulative distribution function of the time to transition given that state [j] will be observed next, are both independent of [i]. An automobile replacement example and an inventory example are given. Equivalence of a second Markovian decision problem that exploits the particular structure is demonstrated for the discounted and averaging cases. Streamlined approaches are also presented for dealing directly with the original problem, and a special inventory model is further simplified. 27 pp. Ref.
Document Details
- Copyright: RAND Corporation
- Availability: Web Only
- Year: 1967
- Pages: 30
- DOI: https://doi.org/10.7249/pubs
- Document Number: P-3448-2
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