Abstract
We introduce the notion of a greedy policy for general stochastic control models. Sufficient conditions for the optimality of the greedy policy for finite and infinite horizon are given. Moreover, we derive error bounds if the greedy policy is not optimal. The main results are illustrated by Bayesian information models, discounted Bayesian search problems, stochastic scheduling problems, single-server queueing networks and deterministic dynamic programs.
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Liebig, T., Rieder, U. Optimal greedy policies for stochastic control models. Mathematical Methods of Operations Research 44, 115–133 (1996). https://doi.org/10.1007/BF01246332
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DOI: https://doi.org/10.1007/BF01246332