Illustrated review of convergence conditions of the value iteration algorithm and the rolling horizon procedure for average-cost MDPs

Author:

Della Vecchia Eugenio,Di Marco Silvia,Jean-Marie Alain

Publisher

Springer Science and Business Media LLC

Subject

Management Science and Operations Research,General Decision Sciences

Reference18 articles.

1. Alden, J. M., & Smith, R. L. (1992). Rolling horizon procedures in nonhomogeneous Markov decision processes. Operations Research, 40(2), S183–S194.

2. Bertsekas, D. P. (1987). Dynamic programming: deterministic and stochastic models. Englewood Cliffs: Prentice Hall.

3. Derman, C. (1970). Finite state Markovian decision processes. New York: Academic Press.

4. Çinlar, E. (1975). Introduction to stochastic processes. New York: Prentice Hall.

5. Federgruen, A., Schweitzer, P., & Tijms, C. (1978). Contraction mappings underlying undiscounted Markov decision problems. Journal of Mathematical Analysis and Applications, 65, 711–730.

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