Bayesian dynamic programming
Published in Advances in Applied Probability • Jun 1, 1975
Authors:
Ulrich Rieder
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 th...
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