A Central Limit Theorem for Temporally Nonhomogenous Markov Chains with Applications to Dynamic Programming

DOI10.1287/moor.2016.0784zbMath1352.60030arXiv1505.00749OpenAlexW2259964332MaRDI QIDQ2833111

Alessandro Arlotto, J. Michael Steele

Publication date: 16 November 2016

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1505.00749

zbMATH Keywords

dynamic programmingcentral limit theoremnonhomogeneous Markov chainssequential decisionMarkov decision problemdynamic inventory management

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Central limit and other weak theorems (60F05) Discrete-time Markov processes on general state spaces (60J05) Dynamic programming in optimal control and differential games (49L20) Combinatorial optimization (90C27) Inventory, storage, reservoirs (90B05) Dynamic programming (90C39) Combinatorial probability (60C05) Markov and semi-Markov decision processes (90C40)

Related Items (3)

A central limit theorem for costs in Bulinskaya's inventory management problem when deliveries face delays ⋮ On the stability of positive semigroups ⋮ Confidence Intervals for Data-Driven Inventory Policies with Demand Censoring

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