Accession Number : AD0698272

Title :   ON THE ASYMPTOTIC COST CONVERGENCE RATE OF THE MODIFIED METHOD OF SUCCESSIVE APPROXIMATIONS.

Descriptive Note : Research rept.,

Corporate Author : CARNEGIE-MELLON UNIV PITTSBURGH PA MANAGEMENT SCIENCES RESEARCH GROUP

Personal Author(s) : Morton,Thomas E.

Report Date : NOV 1969

Pagination or Media Count : 14

Abstract : The modified method of successive approximations of White, Schweitzer, MacQueen, and Odoni concentrates attention on cost differences either between successive stages, or relative to a base state in the same stage, rather than the total cost function itself. It is instructive to work out the actual asymptotic convergence rates of these constructs for the special case of a single fixed policy. Convergence is actually very powerful even for discount rates greater than 1.0, depending principally on the dominant eigenvalue of the transition matrix. The implications of this fact for the relative efficiencies of modified value interation, policy interation, policy iteration via successive approximations, or possible hybrids, are discussed. (Author)

Descriptors :   (*STOCHASTIC PROCESSES, *DYNAMIC PROGRAMMING), MANAGEMENT PLANNING AND CONTROL, INVENTORY CONTROL, APPROXIMATION(MATHEMATICS), DECISION THEORY, CONVERGENCE, COSTS

Subject Categories : Administration and Management
      Operations Research

Distribution Statement : APPROVED FOR PUBLIC RELEASE