Displaying similar documents to “Optimal solutions of multivariate coupling problems”

(s,S)-type policy for a production inventory problem with limited backlogging and with stockouts

Ryszarda Rempała (1997)

Applicationes Mathematicae

Similarity:

A production inventory problem with limited backlogging and with stockouts is described in a discrete time, stochastic optimal control framework with finite horizon. It is proved by dynamic programming methods that an optimal policy is of (s,S)-type. This means that in every period the policy is completely determined by two fixed levels of the stochastic inventory process considered.

Monotone optimal policies in discounted Markov decision processes with transition probabilities independent of the current state: existence and approximation

Rosa María Flores-Hernández (2013)

Kybernetika

Similarity:

In this paper there are considered Markov decision processes (MDPs) that have the discounted cost as the objective function, state and decision spaces that are subsets of the real line but are not necessarily finite or denumerable. The considered MDPs have a cost function that is possibly unbounded, and dynamic independent of the current state. The considered decision sets are possibly non-compact. In the context described, conditions to obtain either an increasing or decreasing optimal...

A consumption-investment problem modelled as a discounted Markov decision process

Hugo Cruz-Suárez, Raúl Montes-de-Oca, Gabriel Zacarías (2011)

Kybernetika

Similarity:

In this paper a problem of consumption and investment is presented as a model of a discounted Markov decision process with discrete-time. In this problem, it is assumed that the wealth is affected by a production function. This assumption gives the investor a chance to increase his wealth before the investment. For the solution of the problem there is established a suitable version of the Euler Equation (EE) which characterizes its optimal policy completely, that is, there are provided...

Convergence of optimal solutions in control problems for hyperbolic equations

S. Migórski (1995)

Annales Polonici Mathematici

Similarity:

A sequence of optimal control problems for systems governed by linear hyperbolic equations with the nonhomogeneous Neumann boundary conditions is considered. The integral cost functionals and the differential operators in the equations depend on the parameter k. We deal with the limit behaviour, as k → ∞, of the sequence of optimal solutions using the notions of G- and Γ-convergences. The conditions under which this sequence converges to an optimal solution for the limit problem are...