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5 - Markov Decision Processes and Finite Horizon Dynamic Programming

Published online by Cambridge University Press:  31 July 2026

Shie Mannor
Affiliation:
Technion - Israel Institute of Technology, Haifa
Yishay Mansour
Affiliation:
Tel-Aviv University
Aviv Tamar
Affiliation:
Technion - Israel Institute of Technology, Haifa
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Summary

This chapter introduces the fundamental Markov decision process model and develops optimal solution methods for finite-horizon problems. Multiple performance criteria are defined, including finite-horizon return and stochastic shortest-path formulations. A key result establishes that Markov policies are sufficient for optimality. The finite-horizon dynamic programming algorithm is derived from the principle of optimality, computing value functions backwards in time via the Bellman equation. The Q-function representation is introduced.

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