Technical Note—Identifying Forecast Horizons in Nonhomogeneous Markov Decision Processes | Zendy

Wallace J. Hopp | Zendy

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Technical Note—Identifying Forecast Horizons in Nonhomogeneous Markov Decision Processes

Author(s) -

Wallace J. Hopp

Publication year - 1989

Publication title -

operations research

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 3.797

H-Index - 140

eISSN - 1526-5463

pISSN - 0030-364X

DOI - 10.1287/opre.37.2.339

Subject(s) - markov decision process , implementation , convergence (economics) , mathematical optimization , markov chain , computer science , new horizons , markov process , value (mathematics) , expression (computer science) , mathematics , machine learning , statistics , economics , engineering , aerospace engineering , spacecraft , programming language , economic growth

A procedure for identifying forecast horizons in nonhomogeneous Markov decision processes, based on convergence results for relative value functions, is developed. Two different algorithmic implementations of this procedure are discussed, and a closed form expression for computing sufficiently long horizons to guarantee epsilon optimality is presented.

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