Optimality of an affine intensity policy for maximizing the probability of an arrival count in point-process intensity control
| Autor: | Boris Defourny |
|---|---|
| Rok vydání: | 2018 |
| Předmět: |
0209 industrial biotechnology
Mathematical optimization 021103 operations research Applied Mathematics 0211 other engineering and technologies Intensity control 02 engineering and technology Management Science and Operations Research Industrial and Manufacturing Engineering Point process 020901 industrial engineering & automation Bellman equation Affine transformation Software Intensity (heat transfer) Mathematics |
| Zdroj: | Operations Research Letters. 46:51-55 |
| ISSN: | 0167-6377 |
| DOI: | 10.1016/j.orl.2017.11.003 |
| Popis: | This paper considers the problem of maximizing the probability of attaining a prescribed count of arrivals generated by a point process, by controlling its intensity. Our analysis shows the existence of optimal intensity switching times that are affine in the arrival count, thereby contributing to the literature on the optimality of affine policies. The optimal intensity control law is established, along with closed-form expressions for its numerical parameters. Several properties of the value function are listed as well. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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