Accession Number : ADA186293

Title :   On Stochastic Optimality of Policies in First Passage Problems.

Descriptive Note : Journal rept.,

Corporate Author : COLUMBIA UNIV NEW YORK

Personal Author(s) : Katehakis, Michael N ; Melolidakis, Costis

PDF Url : ADA186293

Report Date : Jan 1987

Pagination or Media Count : 15

Abstract : In stochastic scheduling and optimal maintenance problems that have been considered in the literature, the optimization criterion used has often been equivalent to minimizing the expected first passage times to a set of states. A typical method used in establishing the optimality of a certain policy is the method of successive approximations on the appropriate dynamic programming functional equations. As an intermediate result, this technique often involves, the optimality of the pertinent policy for all finite horizon versions of the problem. This paper characterizes stochastically optimal policies as policies that process a similar property, i.e. they are optimal in expectation for all members of a sequence of appropriately defined finite horizon problems. The authors use this characterization to establish the stochastic optimality of relevant policies for the optimal repair allocation for a series system problem and for a scheduling problem. (Author)

Descriptors :   *OPTIMIZATION, *POLICIES, APPROXIMATION(MATHEMATICS), DYNAMIC PROGRAMMING, EQUATIONS, FUNCTIONAL ANALYSIS, MAINTENANCE, REPAIR, SCHEDULING, STOCHASTIC PROCESSES, INEQUALITIES, PROBLEM SOLVING

Subject Categories : Operations Research

Distribution Statement : APPROVED FOR PUBLIC RELEASE