Bias optimality for multichain continuous-time Markov decision processes

Bias optimality for multichain continuous-time Markov decision processes

0.00 Avg rating0 Votes
Article ID: iaor20102986
Volume: 37
Issue: 5
Start Page Number: 317
End Page Number: 321
Publication Date: Sep 2009
Journal: Operations Research Letters
Authors: , ,
Abstract:

This paper deals with the bias optimality of multichain models for finite continuous-time Markov decision processes. Based on new performance difference formulas developed here, we prove the convergence of a so-called bias-optimal policy iteration algorithm, which can be used to obtain bias-optimal policies in a finite number of iterations.

Reviews

Required fields are marked *. Your email address will not be published.