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The performance of forwards induction policies

Author

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  • Glazebrook, K. D.
  • Gittins, J. C.

Abstract

Following major theoretical advances in the study of multi-armed bandit problems, Gittins proposed a forwards induction (FI) approach to the development of policies for Markov decision processes (MDP's). Considerable computational savings are often possible over conventional dynamic programming. We describe procedures for computing such policies and give a bound on their suboptimality. This yields, inter alia, a probabilistic analysis of FI policies for families of competing MDP's. The paper concludes with a detailed study of the status of FI policies for stochastic scheduling problems with order constraints.

Suggested Citation

  • Glazebrook, K. D. & Gittins, J. C., 1993. "The performance of forwards induction policies," Stochastic Processes and their Applications, Elsevier, vol. 46(2), pages 301-326, June.
    • Handle: RePEc:eee:spapps:v:46:y:1993:i:2:p:301-326
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