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COMPUTING AVERAGE OPTIMAL CONSTRAINED POLICIES IN STOCHASTIC DYNAMIC PROGRAMMING

Published online by Cambridge University Press:  07 February 2001

Linn I. Sennott
Affiliation:
Department of Mathematics, Illinois State University, Normal, Illinois 61790-4520, E-mail: sennott@math.ilstu.edu
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Abstract

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A stochastic dynamic program incurs two types of cost: a service cost and a quality of service (delay) cost. The objective is to minimize the expected average service cost, subject to a constraint on the average quality of service cost. When the state space S is finite, we show how to compute an optimal policy for the general constrained problem under weak conditions. The development uses a Lagrange multiplier approach and value iteration. When S is denumerably infinite, we give a method for computation of an optimal policy, using a sequence of approximating finite state problems. The method is illustrated with two computational examples.

Information

Type
Research Article
Copyright
© 2001 Cambridge University Press