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Solution of continuous‐time markovian decision models using infinite linear programming

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  • Prasadarao Kakumanu

Abstract

Infinite‐horizon, countable‐state, continuous‐time Markovian decision models are solved by formulating as a pair of infinite linear‐programming problems. Expected discounted and average returns are considered as criterion functions. For both criterion functions, the existence of deterministic optimal stationary policies is established by solving the associated infinite linear‐programming problems. Computational procedures for finite state and action sets are discussed by considering associated finite linear‐programming problems.

Suggested Citation

  • Prasadarao Kakumanu, 1978. "Solution of continuous‐time markovian decision models using infinite linear programming," Naval Research Logistics Quarterly, John Wiley & Sons, vol. 25(3), pages 431-443, September.
    • Handle: RePEc:wly:navlog:v:25:y:1978:i:3:p:431-443
    DOI: 10.1002/nav.3800250306
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