DocumentCode
852117
Title
Approximation and bounds in discrete event dynamic programming
Author
Haurie, Alain ; L´Ecuyer, P.
Author_Institution
Ecole des Hautes Etudes Commerciales, Montreal, P.Q., Canada
Volume
31
Issue
3
fYear
1986
fDate
3/1/1986 12:00:00 AM
Firstpage
227
Lastpage
235
Abstract
This paper presents a general dynamic programming algorithm for the solution of optimal stochastic control problems concerning a class of discrete event systems. The emphasis is put on the numerical technique used for the approximation of the solution of the dynamic programming equation. This approach can be efficiently used for the solution of optimal control problems concerning Markov renewal processes. This is illustrated on a group preventive replacement model generalizing an earlier work of the authors.
Keywords
Discrete-event system (DES); Dynamic programming; Markov processes; Optimal stochastic control; Renewal processes; Stochastic optimal control; Control systems; Costs; Discrete event systems; Dynamic programming; Infinite horizon; Integral equations; Kernel; Optimal control; Stochastic processes; Stochastic systems;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/TAC.1986.1104250
Filename
1104250
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