Solving H-horizon, stationary Markov decision problems in time proportional to log(H)

  • Authors:
  • Paul Tseng

  • Affiliations:
  • Laboratory for Information and Decision Systems, Massachussetts Institute of Technology, Cambridge, MA 02139, USA

  • Venue:
  • Operations Research Letters
  • Year:
  • 1990

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Abstract

We consider the H-horizon, stationary Markov decision problem. For the discounted case, we give an @e-approximation algorithm whose time is proportional to log(1/@e), log(H) and1(1 - @a). For problems where @a is bounded away from 1, we obtain, respectively, a fully polynomial approximation scheme and a polynomial-time algorithm. For the undiscounted case, by refining a weighted maximum norm contraction result of Hoffman, we derive analogous results under the assumption that all stationary policies are proper.