Exact sampling of the infinite horizon maximum of a random walk over a nonlinear boundary.
Jose H. BlanchetJing DongZhipeng LiuPublished in: J. Appl. Probab. (2019)
Keyphrases
- markov random walk
- infinite horizon
- random walk
- transition probability matrix
- optimal control
- optimal policy
- finite horizon
- long run
- transition probabilities
- markov decision processes
- dynamic programming
- stochastic demand
- single item
- production planning
- markov chain
- directed graph
- markov decision process
- fixed cost
- lead time
- state space
- average cost
- stationary distribution
- inventory control
- multi db
- reinforcement learning
- partially observable markov decision processes
- data mining
- steady state
- graph laplacian
- inventory policy
- flow graph
- decision making