Markov Decision Processes with Exogenous Variables

• 成果类型: Article
• 署名作者: Bray, Robert L.
• 署名单位: Northwestern University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2018.3158
• 发表日期: 2019
• 页码: 4598-4606
• 关键词: Markov decision process; dynamic programming; endogenous value iteration; relative value iteration; exogenous variables

摘要

I present two algorithms for solving dynamic programs with exogenous variables: endogenous value iteration and endogenous policy iteration. These algorithms are always at least as fast as relative value iteration and relative policy iteration, and they are faster when the endogenous variables converge to their stationary distributions sooner than the exogenous variables.