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Bayesian dynamic programming

Published online by Cambridge University Press:  01 July 2016

Ulrich Rieder
Ulrich Rieder*
Affiliation:
University of Hamburg
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Abstract

We consider a non-stationary Bayesian dynamic decision model with general state, action and parameter spaces. It is shown that this model can be reduced to a non-Markovian (resp. Markovian) decision model with completely known transition probabilities. Under rather weak convergence assumptions on the expected total rewards some general results are presented concerning the restriction on deterministic generalized Markov policies, the criteria of optimality and the existence of Bayes policies. These facts are based on the above transformations and on results of Hindererand Schäl.

Keywords

BAYESIAN DYNAMIC PROGRAMMINGA POSTERIORI DISTRIBUTIONMAXIMAL EXPECTED REWARDBAYES POLICYREDUCTION TO MODELS WITH COMPLETELY KNOWN TRANSITION LAWGENERALIZED MARKOV POLICYSTATIONARY BAYESIAN DECISION MODELS

Information

Type
Research Article
Information
Advances in Applied Probability , Volume 7 , Issue 2 , June 1975 , pp. 330 - 348
Copyright
Copyright © Applied Probability Trust 1975 

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