The University of Southampton
University of Southampton Institutional Repository

Time aggregated Markov decision processes via standard dynamic programming

Time aggregated Markov decision processes via standard dynamic programming
Time aggregated Markov decision processes via standard dynamic programming

This note addresses the time aggregation approach to ergodic finite state Markov decision processes with uncontrollable states. We propose the use of the time aggregation approach as an intermediate step toward constructing a transformed MDP whose state space is comprised solely of the controllable states. The proposed approach simplifies the iterative search for the optimal solution by eliminating the need to define an equivalent parametric function, and results in a problem that can be solved by simpler, standard MDP algorithms.

Dynamic programming, Markov decision processes, Time aggregation
0167-6377
193-197
Arruda, Edilson F.
8eb3bd83-e883-4bf3-bfbc-7887c5daa911
Fragoso, Marcelo D.
7f484139-de97-4458-aa6b-dc3249811a08
Arruda, Edilson F.
8eb3bd83-e883-4bf3-bfbc-7887c5daa911
Fragoso, Marcelo D.
7f484139-de97-4458-aa6b-dc3249811a08

Arruda, Edilson F. and Fragoso, Marcelo D. (2011) Time aggregated Markov decision processes via standard dynamic programming. Operations Research Letters, 39 (3), 193-197. (doi:10.1016/j.orl.2011.03.006).

Record type: Article

Abstract

This note addresses the time aggregation approach to ergodic finite state Markov decision processes with uncontrollable states. We propose the use of the time aggregation approach as an intermediate step toward constructing a transformed MDP whose state space is comprised solely of the controllable states. The proposed approach simplifies the iterative search for the optimal solution by eliminating the need to define an equivalent parametric function, and results in a problem that can be solved by simpler, standard MDP algorithms.

Full text not available from this repository.

More information

Published date: 1 May 2011
Keywords: Dynamic programming, Markov decision processes, Time aggregation

Identifiers

Local EPrints ID: 445891
URI: http://eprints.soton.ac.uk/id/eprint/445891
ISSN: 0167-6377
PURE UUID: b9dd7d06-2bd0-4884-b9f3-3288f7ba8954
ORCID for Edilson F. Arruda: ORCID iD orcid.org/0000-0002-9835-352X

Catalogue record

Date deposited: 13 Jan 2021 17:31
Last modified: 18 Feb 2021 17:42

Export record

Altmetrics

Download statistics

Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.

View more statistics

Atom RSS 1.0 RSS 2.0

Contact ePrints Soton: eprints@soton.ac.uk

ePrints Soton supports OAI 2.0 with a base URL of http://eprints.soton.ac.uk/cgi/oai2

This repository has been built using EPrints software, developed at the University of Southampton, but available to everyone to use.

We use cookies to ensure that we give you the best experience on our website. If you continue without changing your settings, we will assume that you are happy to receive cookies on the University of Southampton website.

×