<departmental bulletin paper>
A dual approach in optimizing threshold probabilities

Creator
Language
Publisher
Date
Source Title
Vol
Issue
First Page
Last Page
Publication Type
Access Rights
JaLC DOI
Related DOI
Related URI
Relation
Abstract 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 polic...y. 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.show more

Hide fulltext details.

pdf KJ00004858589 pdf 750 KB 370  

Details

Record ID
Peer-Reviewed
Subject Terms
ISSN
NCID
Type
Created Date 2009.04.22
Modified Date 2022.02.10

People who viewed this item also viewed