Myopic Solutions of Homogeneous Sequential Decision Processes
Case Western Reserve University, Department of Operations Working Paper No. TM-810
21 Pages Posted: 13 Jul 2006
Date Written: June 23, 2006
An optimum of a Markov decision process (MDP) is said to be myopic if it can be specified by solving a series of static problems. We identify new classes of MDPs with myopic optima and sequential games with myopic equilibrium points. In one of the classes the single-period reward is homogeneous with respect to the state variable. We illustrate the results with models of revenue management and investment.
Keywords: myopic solution, Markov decision process, dynamic program, homogeneous, sequential game, equilibrium point
JEL Classification: C61, C63, C73
Suggested Citation: Suggested Citation