Linear programming with multiple choice constraints for single chain undiscounted Markov decision problems |
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Authors: | Norihiro Mizuno |
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Affiliation: | Graduate School of Business Administration, New York University, 90 Trinity Place, New York, NY 10006, USA |
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Abstract: | This paper develops an efficient LP algorithm for solving single chain undiscounted Markov decision problems. The algorithm imposes, in the framework of the simplex method, the multiple choice constraints that exactly one basic variable be chosen from each Markov state. It is proved that the algorithm converges to an optimal solution in a finite number of steps. |
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Keywords: | Markov dynamic programming finite state linear programming algorithm |
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