A dual approach in optimizing threshold probabilities

DOI HANDLE Web Site オープンアクセス

書誌事項

タイトル別名
  • dual approach in optimizing threshold probabilities

この論文をさがす

抄録

We consider a threshold probability optimization problem over controlled Markov chains. The problem is which class of policies we optimize the threshold probability in and how we find an optimal policy. This paper formulates the optimization problem in general (large) class and presents a pair of primal and dual methods. A primal method is based upon state-expansion with cumulative rewards up to date and a dual is with threshold levels for the remaining process. We derive duality theorem and consistency theorem, which show that optimal solutions characterize each other. Further a typical model with Bellman and Zadeh's data is illustrated.

収録刊行物

  • 經濟學研究

    經濟學研究 73 (1), 19-33, 2006-08-25

    九州大学経済学会

キーワード

詳細情報 詳細情報について

問題の指摘

ページトップへ