A time aggregation approach to Markov decision processes (Q1614322)
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scientific article; zbMATH DE number 1797073
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A time aggregation approach to Markov decision processes |
scientific article; zbMATH DE number 1797073 |
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A time aggregation approach to Markov decision processes (English)
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5 September 2002
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An infinite horizon average cost control problem for discrete time ergodic Markov chains is considered. A time aggregation approach is proposed, by which policy iteration of the original problem is replaced by a series of policy iterations on nonintersecting subsets of the state space, using the associated embedded Markov chains and equivalent performance functions. Single sample path-based estimation algorithms are presented. The results are illustrated by numerical and simulation examples.
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sample path estimation algorithms
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discrete time ergodic Markov chains
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