Search Results - subject:"Markov Decision Process"

Admission control of a service station when the arrivals are internal

Kuo, Yarlin - In: Mathematical Methods of Operations Research 67 (2008) 2, pp. 285-297

All studies in the admission control of a service station make decisions at arrival epochs. When arrivals are internal and are rejected from a queue, the rejected jobs have to be routed to other stations in the system. However the system will not know whether a job will be admitted to a queue or...

Persistent link: https://www.econbiz.de/10010950229

An envelope theorem and some applications to discounted Markov decision processes

Cruz-Suárez, Hugo; Montes-de-Oca, Raúl - In: Mathematical Methods of Operations Research 67 (2008) 2, pp. 299-321

In this paper, an Envelope Theorem (ET) will be established for optimization problems on Euclidean spaces. In general, the Envelope Theorems permit analyzing an optimization problem and giving the solution by means of differentiability techniques. The ET will be presented in two versions. One of...

Persistent link: https://www.econbiz.de/10010999686

An Exact and Efficient Algorithm for the Constrained Dynamic Operator Staffing Problem for Call Centers

Bhandari, Atul; Scheller-Wolf, Alan; Harchol-Balter, Mor - In: Management Science 54 (2008) 2, pp. 339-353

costs subject to service-level constraints. We model the CDOS problem as a constrained Markov decision process (MDP) and …

Persistent link: https://www.econbiz.de/10009204081

Risk-Averse Capacity Control in Revenue Management

Barz, Christiane (contributor) - 2007

decision maker, the problem is formulated as a risk-sensitive Markov decision process. Special emphasis is put on the existence … decision process. Special emphasis is put on the existence of structured optimal policies. Numerical examples illustrate the …-averse decision-maker. Modelling an expected utility maximizing decision maker, the problem is formulated as a risk-sensitive Markov …

Persistent link: https://www.econbiz.de/10013520759

Risk-averse capacity control in revenue management

Barz, Christiane - 2007

Persistent link: https://www.econbiz.de/10003460685

Average optimality inequality for continuous-time Markov decision processes in Polish spaces

Zhu, Quanxin - In: Computational Statistics 66 (2007) 2, pp. 299-313

In this paper, we study the average optimality for continuous-time controlled jump Markov processes in general state and action spaces. The criterion to be minimized is the average expected costs. Both the transition rates and the cost rates are allowed to be unbounded. We propose another set of...

Persistent link: https://www.econbiz.de/10010759306

Sample-path optimality and variance-maximization for Markov decision processes

Zhu, Q. - In: Computational Statistics 65 (2007) 3, pp. 519-538

This paper studies both the average sample-path reward (ASPR) criterion and the limiting average variance criterion for denumerable discrete-time Markov decision processes. The rewards may have neither upper nor lower bounds. We give sufficient conditions on the system’s primitive data and...

Persistent link: https://www.econbiz.de/10010759507

Neighbourhood Search for constructing Pareto sets

Dorini, G.; Pierro, F.; Savic, D.; Piunovskiy, A. - In: Computational Statistics 65 (2007) 2, pp. 315-337

This paper describes theNeighbourhood Search, an effectivemethod that we suggest for constructing Pareto sets in multiple objective problems with conegenerated orders. TheNeighbourhood Search is then applied to discounted Markov Decision Processes, resulting in original statements about...

Persistent link: https://www.econbiz.de/10010848013

Safety-cost trade-offs in medical device reuse: a Markov decision process model

Sloan, Thomas - In: Health Care Management Science 10 (2007) 1, pp. 81-93

Persistent link: https://www.econbiz.de/10005680723

Sample-path optimality and variance-maximization for Markov decision processes

Zhu, Q. - In: Mathematical Methods of Operations Research 65 (2007) 3, pp. 519-538

Persistent link: https://www.econbiz.de/10010950302