On stochastic optimality of policies in first passage problems
作者:
Michael N. Katehakis,
Costis Melolidakis,
期刊:
Stochastic Analysis and Applications
(Taylor Available online 1990)
卷期:
Volume 8,
issue 2
页码: 209-233
ISSN:0736-2994
年代: 1990
DOI:10.1080/07362999008809206
出版商: Marcel Dekker, Inc.
数据来源: Taylor
摘要:
In many stochastic scheduling and optimal maintenance problems that have been consisdered in the literature, the optimization criterion employed has often been equivalent to minimizing the expected first passage times to a set of “desirable” states. A typical method that has been used in establishing the optimality of a certain policy is the method of successive approximations. As an intermediate, reuslt, this techinique often horizon versions of the problem. In this paper we point out that under mild assumptions stochastically, i.e. they are optimal in expectation for all members of a sequence of appropriately defined finite horizon problems. Furthermore, this characterization can reduce a “uniformizable” continuous time problem into a sequence of approximately defined discrete time problems. In the final sections we use this characterization to establish the stochastic optimality of pertinent policies for an optimal repair allocation problem and for a scheduling problem
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