Monotone optimal control for a class of Markov decision processes

被引：13

作者：

Zhuang, Weifen ^{[1
]}

Li, Michael Z. F. ^{[2
]}

机构：

[1] Xiamen Univ, Sch Management, Xiamen 361005, Fujian, Peoples R China

[2] Nanyang Technol Univ, Nanyang Business Sch, Singapore 639798, Singapore

来源：

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH | 2012年 / 217卷 / 02期

关键词：

Markov processes; D-multimodularity; Monotone optimal control; Substitution; Complement; STOCK PRODUCTION SYSTEM; PRODUCTION-INVENTORY SYSTEM; OPTIMAL POLICY STRUCTURE; LOST-SALES; STRUCTURAL-PROPERTIES; REVENUE MANAGEMENT; QUEUING-SYSTEMS; CONVEXITY; SERVICE; DEMAND;

D O I：

10.1016/j.ejor.2011.09.021

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

This paper provides a unified framework to study monotone optimal control for a class of Markov decision processes through D-multimodularity. We demonstrate that each system in this class can be classified as either a substitution-type or a complement-type system according to the possible transition set, which can be used as a classification mechanism that integrates a variety of models in the literature. We develop a generic proof of the structural properties of both types of system. In particular, we show that D-multimodularity is a generally sufficient condition for monotone optimal control of different types of system in this class. With this unified theory, there is no need to pursue each problem ad hoc and the structural properties of this class of MDPs follow with ease. (C) 2011 Elsevier B.V. All rights reserved.

引用

页码：342 / 350

页数：9

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