Solution of a discounted semi-markovian descision problem by successive oevarrelaxation

Autor:	V. Nollau
Rok vydání:	1997
Předmět:	Mathematical optimization symbols.namesake Control and Optimization Contraction factor High Energy Physics::Lattice Applied Mathematics symbols Time distribution Markov process Management Science and Operations Research Decision problem Constant (mathematics) Mathematics
Zdroj:	Optimization. 39:85-97
ISSN:	1029-4945 0233-1934
DOI:	10.1080/02331939708844273
Popis:	In this paper it is shown that successive overrelaxation can be used for approximative solving a continuously discounted Semi-Markovian decision problem. The overrelaxation factor yielding minimum contraction factor is determined. This factor is at most equal to the maximal value of the Laplace-Stieltjes-transformations of the sojourn time distribution functions. An example illustrates this method of overrelaxation. If the sojourn times are constant one obtains the results of Reetz [6] for (discrete) discounted Markovian decision problems
Databáze:	OpenAIRE
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