A New Specification of the Multichain Policy Iteration Algorithm in Undiscounted Markov Renewal Programs

We consider the Policy Iteration Algorithm for undiscounted Markov Renewal Programs. Previous specifications of the policy evaluation part of this algorithm all required the analysis of the chain structure for each policy generated. The purpose of this paper is to provide a unique specification of t...

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Bibliographic Details
Published in:Management science 1980-12, Vol.26 (12), p.1211-1217
Main Authors: Federgruen, A, Spreen, D
Format: Article
Language:English
Subjects:
Algorithms
Boolean
Boolean data
Coalitions
Dynamic programming
dynamic programming: Markov
dynamic programming: Markov, finite state
dynamic programming: semi-Markov
Evaluation
finite state
Gaussian elimination
Management science
Mathematical procedures
Mathematical vectors
Mathematics
Matrices
Policy
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Summary:We consider the Policy Iteration Algorithm for undiscounted Markov Renewal Programs. Previous specifications of the policy evaluation part of this algorithm all required the analysis of the chain structure for each policy generated. The purpose of this paper is to provide a unique specification of the value vectors as well as an anticycling rule which avoids parsing the transition probability matrices into their subchains.
ISSN:0025-1909
1526-5501
DOI:10.1287/mnsc.26.12.1211