Structural properties of stochastic dynamic programs are essential to understanding the nature of the solutions and in deriving appropriate approximation techniques. We concentrate on a class of multidimensional Markov decision processes and derive sufficient conditions for the monotonicity of the value functions. We illustrate our result in the case of the multiproduct batch dispatch (MBD) problem.
All Science Journal Classification (ASJC) codes
- Management Science and Operations Research
- Industrial and Manufacturing Engineering
- Applied Mathematics
- Markov decision processes
- Monotone value functions