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- Title
A NEW OPTIMALITY CRITERION FOR NONHOMOGENEOUS MARKOV DECISION PROCESSES.
- Authors
Hopp, Wallace J.; Bean, James C.; Smith, Robert L.
- Abstract
We propose a new definition of optimality for nonhomogeneous Markov decision processes called periodic forecast horizon (PFH) optimality. Using measures of discounting and ergodicity, we establish conditions under which PFH-optimal strategies exist and PFH optimality implies the more conventional notions of alpha-optimality and average optimality. Finally, we use this definition of optimality as the basis for a direct development of forecast horizon results for discounted and undiscounted nonhomogeneous Markov decision processes.
- Subjects
MARKOV processes; ALGORITHMS; ERGODIC theory; DECISION making; STATISTICS; LINGUISTIC analysis; FORECASTING
- Publication
Operations Research, 1987, Vol 35, Issue 6, p875
- ISSN
0030-364X
- Publication type
Article
- DOI
10.1287/opre.35.6.875