TY - JOUR
T1 - Stochastic linear programming to optimize some stochastic systems
AU - Pérez-Lechuga, G.
AU - Álvarez-Suárez, M. M.
AU - Garnica-González, J.
AU - Niccolas-Morales, H.
AU - Venegas-Martínez, F.
N1 - Funding Information:
The authors wish to express their gratitude to Dr. Carlos Jaime for helpful discussions. This research was partially supported by the Human Capital and Mobility program "Access to Large Installations", under contract CHGE-CT92-0009 between The European Community and CESCNCEPBA.
PY - 2006/9
Y1 - 2006/9
N2 - In this document we propose a discrete time Markov decision process with finite state to represent some stochastic and dynamical systems. Our problem consists on finding the optimal policy that maximizes the expected average reward per unit of time under an infinite planning horizon using stochastic linear programming. We analyze the feasibility and optimality properties of the model allowing that some of the elements of the A matrix of technological coefficients to be random. Our aim is to enable the transition probability matrix thinking of substituting it punctual values by some probability density functions. We report the theoretical results and some numeric examples.
AB - In this document we propose a discrete time Markov decision process with finite state to represent some stochastic and dynamical systems. Our problem consists on finding the optimal policy that maximizes the expected average reward per unit of time under an infinite planning horizon using stochastic linear programming. We analyze the feasibility and optimality properties of the model allowing that some of the elements of the A matrix of technological coefficients to be random. Our aim is to enable the transition probability matrix thinking of substituting it punctual values by some probability density functions. We report the theoretical results and some numeric examples.
KW - Discrete dynamical systems
KW - Feasibility solutions
KW - Markov chains
KW - Random search methods
KW - Stochastic linear programming
UR - http://www.scopus.com/inward/record.url?scp=33746933184&partnerID=8YFLogxK
M3 - Artículo
SN - 1109-2777
VL - 5
SP - 2263
EP - 2268
JO - WSEAS Transactions on Systems
JF - WSEAS Transactions on Systems
IS - 9
ER -