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On a reduction principle in dynamic programming

Published online by Cambridge University Press:  01 July 2016

K. D. Glazebrook
K. D. Glazebrook*
Affiliation:
University of Newcastle upon Tyne
*
∗Postal address: Department of Statistics, University of Newcastle upon Tyne NE1 7RU, UK
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Abstract

Whittle enunciated an important reduction principle in dynamic programming when he showed that under certain conditions optimal strategies for Markov decision processes (MDPs) placed in parallel to one another take actions in a way which is consistent with the optimal strategies for the individual MDPs. However, the necessary and sufficient conditions given by Whittle are by no means always satisfied. We explore the status of this computationally attractive reduction principle when these conditions fail.

Keywords

GITTINS INDEXMARKOV DECISION PROCESSSTOCHASTIC SCHEDULING
Type
Research Article
Information
Advances in Applied Probability , Volume 20 , Issue 4 , December 1988 , pp. 836 - 851
Copyright
Copyright © Applied Probability Trust 1988 

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