Computing [(g,w)]-Optimal Policies in Discrete and Continuous Markov Programs.

Eric V. Denardo

ResearchPublished 1968

Shows how to compute policies that maximize a certain reasonable criterion (i.e., policies that are [(g,w)]-optimal) for the undiscounted infinite-horizon versions of two Markov decision problems--one a discrete-time model and the other a continuous-time model. The approach used is to parse the overall problem into at most three smaller problems that can be solved in sequence by the methods of linear programming or policy iteration. 33 pp. Ref

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Denardo, Eric V., Computing [(g,w)]-Optimal Policies in Discrete and Continuous Markov Programs. Santa Monica, CA: RAND Corporation, 1968. https://www.rand.org/pubs/research_memoranda/RM5538.html.
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