Linear programming formulation for non-stationary, finite-horizon Markov decision process models

• Published in: Operations research letters Vol. 45; no. 6; pp. 570 - 574
• Main Authors: Bhattacharya, Arnab, Kharoufeh, Jeffrey P.
• Format: Journal Article
• Language: English
• Published: Elsevier B.V 01.11.2017
• Subjects: Linear programming; Non-stationary MDP model; Linear programming; Non-stationary MDP model

Linear programming (LP) formulations are often employed to solve stationary, infinite-horizon Markov decision process (MDP) models. We present an LP approach to solving non-stationary, finite-horizon MDP models that can potentially overcome the computational challenges of standard MDP solution proce...