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21.
《Optimization》2012,61(4-5):495-505
This paper investigates properties of the optimality equation and optimal policies in discrete time Markov decision processes with expected discounted total rewards under weak conditions that the model is well defined and the optimality equation is true. The optimal value function is characterized as a solution of the optimality equation and the structure of optimal policies is also given. 相似文献
22.
By adding one variable to the equality-or inequality-constrained minimization problems, a new simple penalty function is proposed. It is proved to be exact in the sense that under mild assumptions, the local minimizers of this penalty function are precisely the local minimizers of the original problem, when the penalty parameter is sufficiently large. 相似文献
23.
介绍一种计算随机变量数学期望的方法,利用这种方法容易得到数学期望的相关性质,很多概率与矩的不等式证明也因之变得更为简洁. 相似文献
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This paper investigates the price for contingent claims in a dual expected utility theory framework, the dual price, considering arbitrage-free financial markets. A pricing formula is obtained for contingent claims written on n underlying assets following a general diffusion process. The formula holds in both complete and incomplete markets as well as in constrained markets. An application is also considered assuming a geometric Brownian motion for the underlying assets and the Wang transform as the distortion function. 相似文献
27.
本文研究了一类索赔过程与索赔额大小相关的风险模型.利用无穷小方法,得到了该相依模型的折扣惩罚函数的期望满足的方程.及其拉普拉斯变换的表达式.并且给出指数索赔时的具体运用. 相似文献
28.
This paper considers a two-facility supply chain for a single product in which facility 1 orders the product from facility 2 and facility 2 orders the product from a supplier in each period. The orders placed by each facility are delivered in two possible nonnegative integer numbers of periods. The difference between them is one period. Random demands in each period arise only at facility 1. There are physical storage constraints at both facilities in each period. The objective of the supply chain is to find an ordering policy that minimizes the expected cost over a finite horizon and the discounted stationary expected cost over an infinite horizon. We characterize the structure of the minimum expected cost and the optimal ordering policy for both the finite and the discounted stationary infinite horizon problems. 相似文献
29.
We investigate a system whose basic warranty coverage is minimal repair up to a specified warranty length. An additional service is offered whereby first failure is restored up to the consumers’ chosen level of repair. The problem is studied under two system replacement strategies: periodic maintenance before and after warranty. It turns out that our model generalizes the model of Rinsaka and Sandoh [K. Rinsaka, H. Sandoh, A stochastic model with an additional warranty contract, Computers and Mathematics with Applications 51 (2006) 179–188] and the model of Yeh et al. [R.H. Yeh, M.Y. Chen, C.Y. Lin, Optimal periodic replacement policy for repairable products under free-repair warranty, European Journal of Operational Research 176 (2007) 1678–1686]. We derive the optimal maintenance period and optimal level of repair based on the structures of the cost function and failure rate function. We show that under certain assumptions, the optimal repair level for additional service is an increasing function of the replacement time. We provide numerical studies to verify some of our results. 相似文献
30.
Factorial designs are arguably the most widely used designs in scientific investigations. Generalized minimum aberration (GMA) and uniformity are two important criteria for evaluating both regular and non-regular designs. The generation of GMA designs is a non-trivial problem due to the sequential optimization nature of the criterion. Based on an analytical expression between the generalized wordlength pattern and a uniformity measure, this paper converts the generation of GMA designs to a constrained optimization problem, and provides effective algorithms for solving this particular problem. Moreover, many new designs with GMA or near-GMA are reported, which are also (nearly) optimal under the uniformity measure. 相似文献