An approximation procedure for stochastic dynamic programming in countable state space
作者:
A. Hahnewald-Busch,
V. Nollau,
期刊:
Mathematische Operationsforschung und Statistik. Series Optimization
(Taylor Available online 1978)
卷期:
Volume 9,
issue 1
页码: 109-117
ISSN:0323-3898
年代: 1978
DOI:10.1080/02331937808842472
出版商: Akademic-Verlag
数据来源: Taylor
摘要:
In this note we investigate a stochastic dynamic programming problem with countable state space and finite action space. An approximation procedure is given for the numerical solution by a decomposition algorithm of the state space. The optimal policies and minimal value functions of the so-constructed Markovian Decision Process are calculated' by dynamic programming. Convergence theorems are proved and bounds for the minimal value function are obtained.
点击下载:
PDF (363KB)
返 回