Accession Number : AD0651467

Title :   FINITE STATE CONTINUOUS TIME MARKOV DECISION PROCESSES WITH A FINITE PLANNING HORIZON.

Descriptive Note : Doctoral thesis,

Corporate Author : RAND CORP SANTA MONICA CALIF

Personal Author(s) : Miller,Bruce L.

Report Date : APR 1967

Pagination or Media Count : 24

Abstract : The system considered may be in one of n states at any point in time and its probability law is a Markov process which depends on the policy (control) chosen. The return to the system over a given planning horizon is the integral (over that horizon) of a return rate which depends on both the policy and the sample path of the process. The objective is to find a policy which maximizes the expected return over the given planning horizon. A necessary and sufficient condition for optimality is obtained, and a constructive proof is given that there is a piecewise constant policy which is optimal. A bound on the number of switches (points where the piecewise constant policy jumps) is obtained for the case where there are two states. (Author)

Descriptors :   (*DECISION THEORY, STATISTICAL PROCESSES), OPTIMIZATION, OPERATIONS RESEARCH, DYNAMIC PROGRAMMING

Subject Categories : Operations Research

Distribution Statement : APPROVED FOR PUBLIC RELEASE