Abstract
In this paper, we are concerned with a new algorithm for multichain finite state Markov decision processes which finds an average optimal policy through the decomposition of the state space into some communicating classes and a transient class. For each communicating class, a relatively optimal policy is found, which is used to find an optimal policy by applying the value iteration algorithm. Using a pattern matrix determining the behaviour pattern of the decision process, the decomposition of the state space is effectively done, so that the proposed algorithm simplifies the structured one given by the excellent Leizarowitz’s paper (Math Oper Res 28:553–586, 2003). Also, a numerical example is given to comprehend the algorithm.
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