Decision roll and horizon roll processes in infinite horizon discounted Markov decision processes

Decision roll and horizon roll processes in infinite horizon discounted Markov decision processes

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Article ID: iaor1997430
Country: United States
Volume: 42
Issue: 1
Start Page Number: 37
End Page Number: 50
Publication Date: Jan 1996
Journal: Management Science
Authors:
Keywords: decision theory, markov processes
Abstract:

This paper looks at some aspects of infinite horizon Markov decision processes in which information regarding parameter values is restricted to a finite time horizon, and in which decisions are based upon the finite horizon data but are recomputed as we move forward in time and gain knowledge of later parametric values. A general framework is given. Bounds on the loss of optimality arising from two planning horizon decision processes are given, and the choice of decision process and planning horizon is examined.

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