共查询到19条相似文献,搜索用时 125 毫秒
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利用随机分析的知识及最优控制理论,推广了一类带停时的随机控制问题,针对不同参数,证明了最佳控制的存在性,分两种情况给出了最佳控制的存在区域,并给出了不同初始状态下,最佳控制的结构和最佳费用函数.由于将原模型中费用结构中的R-S积分的被积函数由1推广为满足某些条件的一般函数,所以推广后的模型更具一般性. 相似文献
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通过在目标结构中引入收益率及破产补偿函数,建立了一非对称型最优奇异随机控制模型.利用随机积分及最优控制理论,得出了最大回报函数的显式解及相应的最优控制策略. 相似文献
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以随机分析的知识和最优控制理论为基础,讨论了一类带停时的奇异型随机控制的折扣费用问题在金融投资模型中的应用,将该带停时的奇异型随机控制模型的受控状态过程和费用函数结构都推广到了最一般的形式,使该模型的应用范围更加广泛.通过讨论一组相应的变分不等式的解,分别对退化和非退化两种情况给出了此随机控制问题的最优策略,相应得出了投资模型中的最佳决策,并且证明了变分不等式的解即为最优费用函数.与以往不同的是,所得的相关结论应用到了金融投资模型中,从而解决了一类金融投资问题. 相似文献
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该文讨论了一类奇异型随机控制的平稳模型,其费用结构中的函数不限于偶函数,其状态过程为扩散型且具有“非对称的”(关于原点)漂移及扩散系数.因此,奇异型随机控制中的平稳问题被实质性地推广到更一般的形式。该文求得了与此类问题有关的一个变分方程组的解,并且证明了最佳控制的存在性. 相似文献
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以随机分析的知识和最优控制理论为基础,讨论了一类带停时的奇异型随机控制的折扣费用模型,在原模型的状态过程的基础上添加了漂移因子和扩散因子,并在λ<δα的情况下讨论了该问题相应的变分方程的解,给出了此随机控制问题的最优策略,即最优控制和最优停时,并且证明了变分方程的解即为最优费用函数. 相似文献
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以随机分析和最优控制理论为基础,讨论了一类带停时的奇异型随机控制问题.在原模型状态过程的基础上添加了漂移因子,并将原模型中的控制费用函数推广为一般的费用函数.在某些条件下,得到"跳一停"策略是其最优控制策略,并给出了"跳一停"策略存在的条件以及控制方法,所得的结论在实际中有较深的应用背景. 相似文献
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考虑两类具有N-策略和服务员多重休假的M/G/1排队系统,其中一类是休假不可中断,另一类是休假可中断的.利用系统稳态队长的随机分解特性导出稳态队长的概率母函数,用数值计算讨论了系统空闲率与附加平均队长对系统一些参数的敏感性.进一步,在给出的费用结构模型的基础上,利用更新报酬定理,推导出了稳态下系统在单位时间内的数学期望平均费用目标函数的解析式,然后借用MATLAB软件,求出了使目标函数达到最小的最优控制策略N*. 相似文献
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奇异型随机控制中的平稳问题 总被引:15,自引:2,他引:13
随机控制中的平稳问题也称平均期望费用问题,笔者曾在[1]中研究了一类脉冲型平稳随机控制问题.本文再研究一类推广的奇异型平稳问题.奇异型随机控制问题最初大约由[2]引进,由于它在宇航及卫星发射等高科技领域有着重要应用(参看[3],Introduc-tion),故以后研究的文献很多,而在[3]中定型为较一般的模型.笔者在[4]中对[3]中的折扣费用模型做了推广,本文则相应对其中的平稳问题进行推广.本文的主要结果已 相似文献
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Chandan Pal 《Stochastics An International Journal of Probability and Stochastic Processes》2019,91(2):155-174
We study stochastic control problem for pure jump processes on a general state space with risk sensitive discounted and ergodic cost criteria. For the discounted cost criterion we prove the existence and Hamilton–Jacobi–Bellman characterization of optimal α-discounted control for bounded cost function. For the ergodic cost criterion we assume a Lyapunov type stability assumption and a small cost condition. Under these assumptions we show the existence of the optimal risk-sensitive ergodic control. 相似文献
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Much of stochastic game theory is concerned with diffusion models. Such models are often only idealizations of the actual physical process, which might be driven by a wide bandwidth process or be a discrete parameter system with correlated driving noises. For a two person zero-sum game, under quite general conditions, the optimal or nearly optimal strategies derived for the diffusion model are shown to be “nearly optimal” for the physical (say wideband noise driven) process. An approach based on occupation measures are used. We treat the problem of discounted cost, as well as the average cost per unit time problem. Weak convergence methods are utilized in the analysis 相似文献
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Sujatha Babu Nagarajan Krishnamurthy T. Parthasarathy 《International Journal of Game Theory》2017,46(3):761-782
In this paper, we address various types of two-person stochastic games—both zero-sum and nonzero-sum, discounted and undiscounted. In particular, we address different aspects of stochastic games, namely: (1) When is a two-person stochastic game completely mixed? (2) Can we identify classes of undiscounted zero-sum stochastic games that have stationary optimal strategies? (3) When does a two-person stochastic game possess symmetric optimal/equilibrium strategies? Firstly, we provide some necessary and some sufficient conditions under which certain classes of discounted and undiscounted stochastic games are completely mixed. In particular, we show that, if a discounted zero-sum switching control stochastic game with symmetric payoff matrices has a completely mixed stationary optimal strategy, then the stochastic game is completely mixed if and only if the matrix games restricted to states are all completely mixed. Secondly, we identify certain classes of undiscounted zero-sum stochastic games that have stationary optima under specific conditions for individual payoff matrices and transition probabilities. Thirdly, we provide sufficient conditions for discounted as well as certain classes of undiscounted stochastic games to have symmetric optimal/equilibrium strategies—namely, transitions are symmetric and the payoff matrices of one player are the transpose of those of the other. We also provide a sufficient condition for the stochastic game to have a symmetric pure strategy equilibrium. We also provide examples to show the sharpness of our results. 相似文献
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《European Journal of Operational Research》2001,133(1):153-159
This paper studies the stocking/replenishment decisions for inventory systems where the purchasing price of an item decreases overtime. In a periodic review setting with stochastic demands, we model the purchasing prices of successive periods as a stochastic and decreasing sequence. To minimize the expected total discounted costs (purchasing, inventory holding and shortage penalty) for systems with backlogging and lost sales, we derive conditions, regarding the cost parameters, under which myopic stocking policies are optimal. 相似文献
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本文研究约束折扣半马氏决策规划问题,即在一折扣期望费用约束下,使折扣期望报酬达最大的约束最优问题,假设状态集可数,行动集为紧的非空Borel集,本文给出了p-约束最优策略的充要条件,证明了在适当的假设条件下必存在p-约束最优策略。 相似文献
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Shaler Stidham Jr. 《Mathematical Methods of Operations Research》2005,62(3):485-497
We provide weak sufficient conditions for a full-service policy to be optimal in a queueing control problem in which the service
rate is a dynamic decision variable. In our model there are service costs and holding costs and the objective is to minimize
the expected total discounted cost over an infinite horizon. We begin with a semi-Markov decision model for a single-server
queue with exponentially distributed inter-arrival and service times. Then we present a general model with weak probabilistic
assumptions and demonstrate that the full-service policy minimizes both finite-horizon and infinite-horizon total discounted
cost on each sample path. 相似文献
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In the paper a stochastic control problem consisting of continuously acting controls, impulse controls and stopping times of a partially observed diffusion with discounted cost functional is considered. The problem is successively approximated by time, observation, control and space discretizations to obtain finally a completely observed finite valued control problem. It is shown that the optimal strategy for the approximating problem, which can be numerically computed, is nearly optimal for the original problem 相似文献
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研究了复合Poisson 模型带比例与固定费用的最优分红与注资问题. 每次分红与注资时, 存在比例及固定的交易费用. 通过控制分红与注资的时刻以及分红及注资量,实现破产前分红减注资的折现期望的最大化. 由于存在固定交易费用, 问题为一个脉冲控制问题. 根据问题的参数不同, 问题的解可分为两大类. 一类解为只进行最优分红不需要注资, 而另一类情况需要注资. 需要注资时, 最优注资策略由最优注资上界以及最优注资下界描述. 当赤字小于最优注资下界的绝对值时, 进行注资. 最后, 在理赔为指数分布时明确地给出了两类共七种最优策略以及值函数的形式. 从而彻底地解决了该问题. 相似文献