Strong polynomiality of the Gass-Saaty shadow-vertex pivoting rule for controlled random walks
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- Even, G. & Zadorojniy, A. Ann Oper Res (2012) 201: 159. doi:10.1007/s10479-012-1199-x
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We consider the subclass of linear programs that formulate Markov Decision Processes (mdps). We show that the Simplex algorithm with the Gass-Saaty shadow-vertex pivoting rule is strongly polynomial for a subclass of mdps, called controlled random walks (CRWs); the running time is O(|S|3⋅|U|2), where |S| denotes the number of states and |U| denotes the number of actions per state. This result improves the running time of Zadorojniy et al. (Mathematics of Operations Research 34(4):992–1007, 2009) algorithm by a factor of |S|. In particular, the number of iterations needed by the Simplex algorithm for CRWs is linear in the number of states and does not depend on the discount factor.