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
fDate :
3/1/1986 12:00:00 AM
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;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1986.1104250