Web pages of Lars Relund Nielsen

Markov decision theory

During the this semester I am teaching the course “Markov decision theory” at the Department of Mathematics. The course presents the algorithmic aspects of Markov decision theory and illustrates the wide applicability of this theory to a variety of realistic problems. First, the course consider the Poisson process followed by Renewal/Reward Processes. Next we study the theory of Markov chains. Then follows a thorough presentation of the theory of Markov Decision Processes, including some applications. Finally, further applications are discussed based on reports made by the students. A course plan is given here.

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