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The present paper discusses real parallel computations. On the basis of a selected group of dynamic programming algorithms, a number of factors affecting the efficiency of parallel computations such as, e.g., the way of distributing tasks, the interconnection structure between particular elements of the parallel system or the way of organizing of interprocessor communication are analyzed. Computations were implemented in the parallel multitransputer SUPER NODE 1000 system using from 5 to 50 transputers....
This paper deals with a class of partially observable discounted Markov decision processes defined on Borel state and action spaces, under unbounded one-stage cost. The discount rate is a stochastic process evolving according to a difference equation, which is also assumed to be partially observable. Introducing a suitable control model and filtering processes, we prove the existence of optimal control policies. In addition, we illustrate our results in a class of GI/GI/1 queueing systems where...
We are concerned with a class of queueing systems with controlled service rates, in which the waiting times are only observed when they take zero value. Applying a suitable filtering process, we show the existence of optimal control policies under a discounted optimality criterion.
Based upon an observation that it is too restrictive to assume a definite correlation of the underlying asset price and its volatility, we use a hybrid model of the constant elasticity of variance and stochastic volatility to study a portfolio optimization problem for pension plans. By using asymptotic analysis, we derive a correction to the optimal strategy for the constant elasticity of variance model and subsequently the fine structure of the corrected optimal strategy is revealed. The result...
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