A modified Gauss-Seidel-algorithm with exclusion of suboptimal actions for A class of semi-Markovian decision problems

Abstract

In this paper it is shown that a modified Gauss-Seidel-Algorithm with exclusion of suboptimai actions can be used for approximative solving a continuously discounted Semi-Markovian decision problem. Moreover it is proved that the overrelaxation factor of the algorithm introduced in [5] can be improved. If the sojourn times are constant and the overrelaxation factor is independent of states and actions one obtains results of Reetz [6,7] for (discrete) discounted Markovian decision problems. Finally, an example illustrates this method including exclusion of suboptimai actions

Keywords:

• Semi-Markov Decision Processes
• Markov Renewal Programming

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Notes

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