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Discrete-state discrete-action MDPs #216

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jlperla opened this issue Jan 5, 2023 · 1 comment

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dependency-review

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sciml-dependency-...

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jlperla commented Jan 5, 2023

https://julia.quantecon.org/dynamic_programming/discrete_dp.html and also https://julia.quantecon.org/multi_agent_models/aiyagari.html also uses it

Uses a relatively standard MDP algorithm with discrete states/values with VFI and PFI and modified policy iteration
Stationary distribution of the solution
Simulations after solution calculated.
Most are probably available in external libraries for MDPs with a full model. Algorithms are simple but tricky to get high-performance without inplace operations/etc.

jlperla added the dependency-review label

jlperla added this to the sciml+1.9 release milestone

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jlperla commented Jan 9, 2023

https://github.com/JuliaPOMDP/DiscreteValueIteration.jl is one algorithm in that package.

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