Accession Number : ADA186365

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

Descriptive Note : Technical rept.,

Corporate Author : COLUMBIA UNIV NEW YORK

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

PDF Url : ADA186365

Report Date : Jan 1984

Pagination or Media Count : 14

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 optimally 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. these 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 relevent policies for the optimal repair allocation for a series system problem and for a scheduling problem.

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

Subject Categories : Operations Research

Distribution Statement : APPROVED FOR PUBLIC RELEASE