Linear programming in a Markov chain: notes on linear programming and extensions-part 59.

by George Bernard Dantzig, Philip S. Wolfe

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A study concerned with an infinite Markov process with a finite number of states in which the transition probabilities for each stage range independently over sets that either are finite or are convex polyhedra. A finite computational procedure is given for choosing those transition proba- bilities which minimize appropriate functions of the resulting equilibrium probabilities.

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