This paper deals with a Markovian decision process with an absorbing set J 0 . We are interested in the largest number β *≥1, called the critical discount factor, such that for all discount factors β smaller than β * the limit V of the N-stage value function V N for N →∞ exists and is...

One-armed bandit processes with continuous delayed responses are formulated as controlled stochastic processes following the Bayesian approach. It is shown that under some regularity conditions, a Gittins-like index exists which is the limit of a monotonic sequence of break-even values...

This paper deals with a Markovian decision process with an absorbing set J <Subscript>0</Subscript>. We are interested in the largest number β<Superscript>*</Superscript>≥1, called the critical discount factor, such that for all discount factors β smaller than β<Superscript>*</Superscript> the limit V of the N-stage value function V <Subscript>N</Subscript> for N →∞ exists and is...</subscript></superscript></superscript></subscript>

We consider an M|E <Subscript> N </Subscript>|1 queue in which there are two essential on-line decisions that have to be taken. The first one is the decision to either accept or reject new jobs. The second one is the decision to either continue or abort the service of a job. We show that under certain regularity...</subscript>

We consider a two-stage supply chain under centralized control. The downstream facility faces discrete stochastic demand and passes supply requests to the upstream facility. The upstream facility always meets the supply requests from downstream. If the upstream facility cannot meet the supply...

The idea of price-directed control is to use an operating policy that exploits optimal dual prices from a mathematical programming relaxation of the underlying control problem. We apply it to the problem of replenishing inventory to subsets of products/locations, such as in the distribution of...

One-armed bandit processes with continuous delayed responses are formulated as controlled stochastic processes following the Bayesian approach. It is shown that under some regularity conditions, a Gittins-like index exists which is the limit of a monotonic sequence of break-even values...

We consider an M|E N |1 queue in which there are two essential on-line decisions that have to be taken. The first one is the decision to either accept or reject new jobs. The second one is the decision to either continue or abort the service of a job. We show that under certain regularity...

In this paper we analyse the optimal claim behaviour of a policy holder having a third-party liability insurance in which one is allowed to decide at the end of an insurance year which damages occurred during that year should be claimed. This analysis can only be carried out in detail in case...