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/lp/informs/successive-approximations-for-finite-horizon-semi-markov-decision-r0pO0euRj0
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- Publisher
- INFORMS
- Copyright
- Copyright © INFORMS
- Subject
- Research Article
- ISSN
- 0030-364X
- eISSN
- 1526-5463
- DOI
- 10.1287/opre.34.4.638
- Publisher site
- See Article on Publisher Site
Abstract
This paper presents a simple successive approximation approach to the characterization of optimal policies for finite horizon, semi-Markov decision processes. Optimal policies are nonstationary, for in this setting they depend on both time and state. We illustrate this approach by analyzing the optimal liquidation of an asset; we also show that several aspects of the standard, discrete-time, infinite horizon optimal policy carry over to the continuous-time, finite horizon policy.
Journal
Operations Research – INFORMS
Published: Aug 1, 1986
Keywords: Keywords : 112 optimal asset liquidation ; 118 finite horizon ; continuous-time semi-Markov decision process