Markov decision processes: discrete stochastic dynamic programming
The book gives a very accessible introduction to the concepts of Markov Decision Processes. It is of great value to advanced-level students, researchers, and professional practitioners of this field to have now a complete volume with more than 600 pages. As I had a good feeling for finite state dynamic programming, this book helped me to get a better feeling for stationary processes an mainly value iteration to obtain optimal rules and policies. Discrete-time Markov decision processes require some studying (said in another way, it is not directly easy) and feeling for transient and absorbtion states and how decisions influence the shape of the Markov process. What I like about the book, is that it is rather complete.
M.L. Puterman (1994), Markov decision processes: discrete stochastic dynamic programming. Wiley, New York
Author of the review:
University of Malaga
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