A LP Solution to the Problem of the Optimal Stopping Discrete Finite Markov Chains
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Abstract:
This paper deals with the optimal stopping problem for Markov chains with non-discounted total payment. Paper [2] proves a sufficient condition: The value function of the optimal stopping problem for discrete finite Markov chains exists if the corresponding linear programming has a solution. This paper also shows that this condition is also necessary.
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Gu Jianxiang. A LP Solution to the Problem of the Optimal Stopping Discrete Finite Markov Chains[J]. Journal of National University of Defense Technology,1990,12(3):45-49.