Article ID: | iaor20032054 |
Country: | United States |
Volume: | 50 |
Issue: | 5 |
Start Page Number: | 796 |
End Page Number: | 809 |
Publication Date: | Sep 2002 |
Journal: | Operations Research |
Authors: | McCardle Kevin F., Smith James E. |
Keywords: | decision theory |
In Markov models of sequential decision processes, one is often interested in showing that the value function is monotonic, convex, and/or supermodular in the state variables. These kinds of results can be used to develop a qualitative understanding of the model and characterize how the results will change with changes in model parameters. In this paper we present several fundamental results for establishing these kinds of properties. The results are, in essence, ‘metatheorems’ showing that the value functions satisfy property