Abstract
In this chapter we consider standard numerical methods for finite Markov decision processes (MDP), i.e., stochastic control problems where both the space state and the set of available actions at each state are finite. There are several examples of systems featuring finite state and action spaces, like certain types of queueing networks. Alternatively, a finite MDP may result from the discretization of a more complicated continuous state/decision model, even though this need not be the best way to tackle those problems.
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