有限马氏链最优停止的线性规划解

A LP Solution to the Problem of the Optimal Stopping Discrete Finite Markov Chains

离散时间的有限状态马尔可夫链最优停止的值函数存在的一个充分条件是所对应的线性规划有解,且其最优解等于值函数,本文证明这个条件还是必要的。

This paper deals with the optimal stopping problem for Markov chainswith non—discounted total payment.Paper[2]proves a sufficient condition:The value function of the optimal stopping problem for discrete finiteMarkov chains exists if the corresponding linear programming has a solution.This paper also shows that this condition is also necessary.