Weakly Time-Coupled Approximation of Markov Decision Processes

ArXi:2603.12636v1 Announce Type: cross Finite-horizon Marko decision processes (MDPs) with high-dimensional exogenous uncertainty and endogenous states arise in operations and finance, including the valuation and exercise of Bermudan and real options, but face a scalability barrier as computational complexity grows with the horizon. A common approximation represents the value function using basis functions, but methods for fitting weights treat cross-stage optimization differently.