| OPTIMAL MODELS FOR THE FIRST ARRIVAL TIME DISTRIBUTION FUNCTION IN CONTINUOUS TIME－WITH A SPECIAL CASE |
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| 引用本文： | 林元烈.OPTIMAL MODELS FOR THE FIRST ARRIVAL TIME DISTRIBUTION FUNCTION IN CONTINUOUS TIME－WITH A SPECIAL CASE[J].应用数学学报(英文版),1994(2). |
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| 作者姓名： | 林元烈 |
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| 作者单位： | LIN YUANLIE(Department of Applied Mathematics，Tsinghua University，Beijing 100084，China)R.J. TOMKINS;CHUNGLIE WANG(Department of Mathematics and Statistics，University of Regina，Canada) |
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| 摘 要： | ＯＰＴＩＭＡＬＭＯＤＥＬＳＦＯＲＴＨＥＦＩＲＳＴＡＲＲＩＶＡＬＴＩＭＥＤＩＳＴＲＩＢＵＴＩＯＮＦＵＮＣＴＩＯＮＩＮＣＯＮＴＩＮＵＯＵＳＴＩＭＥ－ＷＩＴＨＡＳＰＥＣＩＡＬＣＡＳＥＬＩＮＹＵＡＮＬＩＥ（林元烈）（ＤｅｐａｒｔｍｅｎｔｏｆＡｐｐｌｉｅｄＭａ...
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OPTIMAL MODELS FOR THE FIRST ARRIVAL TIME DISTRIBUTION FUNCTION IN CONTINUOUS TIME -WITH A SPECIAL CASE |
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| LIN YUANLIE.OPTIMAL MODELS FOR THE FIRST ARRIVAL TIME DISTRIBUTION FUNCTION IN CONTINUOUS TIME -WITH A SPECIAL CASE[J].Acta Mathematicae Applicatae Sinica,1994(2). |
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| Authors: | LIN YUANLIE |
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| Abstract: | Optimal Models for first arrival time (rH) and first arrival target total return (WH) distribution functions on MDP in continuous time are presented. Asymptotic expansions of rH and WH are derived and expressed in simple, explicit forms, and some of their properties are discussed. Two methods to find an optimal policy for distribution function of rH are given. Several necessary and sufficient conditions for the existence of the optimal policy are obtained. This result leads to that the scope of finding the optimal policy is greatly reduced. A special case is also discussed and some deep results are given. |
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| Keywords: | Markov decision process first arrival time distribution function |
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