Adaptive Policies for Markov Renewal Programs

doi:10.1214/aos/1176342370

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Home > Journals > Ann. Statist. > Volume 1 > Issue 2 > Article

March, 1973 Adaptive Policies for Markov Renewal Programs

Bennett L. Fox, John E. Rolph

Ann. Statist. 1(2): 334-341 (March, 1973). DOI: 10.1214/aos/1176342370

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Abstract

We recast a class of denumerable-state, infinite-action Markov renewal programs with unknown parameters as one-state programs with actions corresponding to stationary policies in the original program. Under suitable conditions we find an adaptive (nonstationary) optimal policy in the sense of maximizing long-run expected reward per unit time.

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Bennett L. Fox. John E. Rolph. "Adaptive Policies for Markov Renewal Programs." Ann. Statist. 1 (2) 334 - 341, March, 1973. https://doi.org/10.1214/aos/1176342370