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Derman’s book as inspiration: some results on LP for MDPs

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  • Lodewijk Kallenberg

Abstract

In 1976 I was looking for a suitable subject for my PhD thesis. My thesis advisor Arie Hordijk and I found a lot of inspiration in Derman’s book (Finite state Markovian decision processes, Academic Press, New York, 1970 ). Since that time I was interested in linear programming methods for Markov decision processes. In this article I will describe some results in this area on the following topics: (1) MDPs with the average reward criterion; (2) additional constraints; (3) applications. These topics are the main elements of Derman’s book. Copyright The Author(s) 2013

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  • Lodewijk Kallenberg, 2013. "Derman’s book as inspiration: some results on LP for MDPs," Annals of Operations Research, Springer, vol. 208(1), pages 63-94, September.
    • Handle: RePEc:spr:annopr:v:208:y:2013:i:1:p:63-94:10.1007/s10479-011-1047-4
    DOI: 10.1007/s10479-011-1047-4
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    References listed on IDEAS

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    1. Eric V. Denardo, 1970. "On Linear Programming in a Markov Decision Problem," Management Science, INFORMS, vol. 16(5), pages 281-288, January.
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    11. DE GHELLINCK, Guy T. & EPPEN, Gary D., 1967. "Linear programming solutions for separable Markovian decision problems," LIDAM Reprints CORE 6, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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    1. Nandyala Hemachandra & Kamma Sri Naga Rajesh & Mohd. Abdul Qavi, 2016. "A model for equilibrium in some service-provider user-set interactions," Annals of Operations Research, Springer, vol. 243(1), pages 95-115, August.

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