Successive Approximations for Finite Horizon, Semi-Markov Decision Processes with Application to Asset Liquidation
Operations Research · 1986 · Volume 34 · Issue 4
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.
Keywords
112 optimal asset liquidation, 118 finite horizon, continuous-time semi-Markov decision process
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