Accession Number : AD0628096

Title :   A PROPERTY OF SEQUENTIAL CONTROL PROCESSES,

Corporate Author : RAND CORP SANTA MONICA CALIF

Personal Author(s) : Strauch,Ralph E. ; Veinott,Arthur F. ,Jr.

Report Date : JAN 1966

Pagination or Media Count : 14

Abstract : This memorandum deals with discrete time stochastic control processes having a finite number of states and possible actions. If the process is in state i at time t and one makes decision d sub k, it moves to state j at time t + 1 with probability q sub ij(k). A rule R is a (possibly random) procedure for choosing a decision at each time t given the past up to time t. Each rule R determines a probability P sub R on the set of possible sample paths of the process. Derman (Annals Math. Stat., 35, 1964) has shown that, for criteria involving limiting average probabilities of visits to state-decision pairs, one needs only to consider initial randomizations of nonrandom stationary rules. It is shown that there is a rule which induces the same probability on the process as any initial randomization, hence nothing new is introduced by initial randomization. (Author)

Descriptors :   (*STOCHASTIC PROCESSES, CONTROL), (*CONTROL, STOCHASTIC PROCESSES), DECISION MAKING, PROBABILITY, DYNAMIC PROGRAMMING, TIME, SEQUENCES(MATHEMATICS)

Subject Categories : Operations Research

Distribution Statement : APPROVED FOR PUBLIC RELEASE