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: | White D.J. |
Keywords: | decision theory, markov processes |
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.