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Linear Programming in a Markov Chain

Philip Wolfe, G. B. Dantzig

Operations Research · 1962 · Volume 10 · Issue 5

DOI: 10.1287/opre.10.5.702

Abstract

An infinite Markov process with a finite number of states is studied in which the transition probabilities for each state range independently over sets that are either finite or are convex polyhedra. A finite computational procedure is given for choosing those transition probabilities that minimize appropriate functions of the resulting equilibrium probabilities, the procedure is a specialization of the authors' decomposition algorithm for linear programming problems of special structure.

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