We consider a production planning problem for a jobshop with unreliable machines producing a number of products. There are upper and lower bounds on intermediate parts and an upper bound on finished parts. The machine...
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We consider a production planning problem for a jobshop with unreliable machines producing a number of products. There are upper and lower bounds on intermediate parts and an upper bound on finished parts. The machine capacities are modelled as finite state Markov chains. The objective is to choose the rate of production so as to minimize the total discounted cost of inventory and production. Finding an optimal control policy for this problem is difficult. Instead, we derive an asymptotic approximation by letting the rates of change of the machine states approach infinity. The asymptotic analysis leads to a limiting problem in which the stochastic machine capacities are replaced by their equilibrium mean capacities. The value function for the original problem is shown to converge to the value function of the limiting problem. The convergence rate of the value function together with the error estimate for the constructed asymptotic optimal production policies are established. (C) 2006 Elsevier Inc. All rights reserved.
A rate control approach is proposed to deal with the low delay H.264/AVC video transmission over channels with burst errors by applying stochastic optimization technique. Based on the exponential rate-distortion and t...
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ISBN:
(纸本)9787302139225
A rate control approach is proposed to deal with the low delay H.264/AVC video transmission over channels with burst errors by applying stochastic optimization technique. Based on the exponential rate-distortion and the linear variance prediction model, the one pass rate control algorithm will take into account the channel state and round trip delay, and make an immediate decision on the optimal rate allocation for the video frame. Simulation results show that for different end to end delay constraints and round trip delay, the number of lost frames is significantly reduced, and the average reconstruction peek sinal to noise ratio is improved by 0.5 similar to 1.6dB, compared with the reference rate control scheme [ARA, 01].
We consider the sensor management problem arising in air-to-ground tracking of moving targets. The sensing-tracking system includes a radar and a feature-aided tracker. The radar collects target-signature data in high...
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ISBN:
(纸本)0819462918
We consider the sensor management problem arising in air-to-ground tracking of moving targets. The sensing-tracking system includes a radar and a feature-aided tracker. The radar collects target-signature data in high-resolution-radar (HRR) mode. The tracker is using the collected HRR-signature data to create and maintain target-track identification information. More specifically, the tracker is learning target-track profiles from the collected signature data, and is using these profiles to resolve the potential report-to-track or track-to-track association ambiguities. In this paper, we focus on the management of the HRR-signature data collection. Specifically, the sensor management problem is to determine where to collect signature data on targets in time so as to optimize the utility of the collected data. As with other sensor management problems, determining the optimal data collection is a hard combinatorial problem due to many factors including the large number of possible sensor actions and the complexity of the dynamics. The complexity of the dynamics stems in part from the presence of the sensor slew time. A distinguishing feature of the sensor management problem considered here is that the HRR-signature data collected during the learning phase has no immediate value. To optimize the data collections, a sensor manager must look sufficiently far into the future to adequately trade-off alternative plans. Here, we propose some farsighted algorithms, and evaluate them against a sequential scanning and a greedy algorithm. We present our simulation results obtained by applying these algorithms to a problem of managing a single sensor providing HRR-signature data.
We consider an optimally managed renewable resource with stochastic non-concave growth function. We characterize the conditions under which the optimal policy leads to global extinction, global conservation and the ex...
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We consider an optimally managed renewable resource with stochastic non-concave growth function. We characterize the conditions under which the optimal policy leads to global extinction, global conservation and the existence of a safe standard of conservation. Our conditions are specified in terms of the economic and ecological primitives of the model: the biological growth function, the welfare function, the distribution of shocks and the discount rate. Our results indicate that, unlike deterministic models, extinction and conservation in stochastic models are not determined by a simple comparison of the growth rate and the discount rate;the welfare function plays an important role.
In this paper, we numerically solve a stochastic dynamic programming problem for the solution of a stochasticdynamic game for which there is a potential function. The players select a mean level of control. The state...
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In this paper, we numerically solve a stochastic dynamic programming problem for the solution of a stochasticdynamic game for which there is a potential function. The players select a mean level of control. The state transition dynamics is a function of the current state of. the system and a multiplicative noise factor on the control variables of the players. The particular application is for lake water usage. The control variables are the levels of phosphorus discharged (typically by farmers) into the watershed of the lake, and the random shock is the rainfall that washes the phosphorus into the lake. The state of the system is the accumulated level of phosphorus in the lake. The system dynamics are sufficiently nonlinear so that there can be two Nash equilibria. A Skiba-like point can be present in the optimal control solution. We analyze (numerically) how the dynamics and the Skiba-like point change as the variance of the noise (the rain) increases. The numerical analysis uses a result of Dechert (1978. Optimal control problems from second order difference equations. Journal of Economic Theory 19, 50-63) to construct a potential function for the dynamic game. This greatly reduces the computational burden in finding Nash equilibria solutions for the dynamic game. (c) 2006 Elsevier B.V. All rights reserved.
This paper deals with the jointed decision question on ordering and pricing for a short-life-cycle product under stochastic multiplicative demand depended selling price. According to the marketing practices, which ret...
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This paper deals with the jointed decision question on ordering and pricing for a short-life-cycle product under stochastic multiplicative demand depended selling price. According to the marketing practices, which retailers sell their products in different periods with the different marketing policies, we depict the jointed decision question with a stochastic dynamic programming model from the view of the centralized system. Then, we prove that the expected profit function are concave on decision vectors respectively, and develop the decision method for ordering and pricing. Lastly, we design the iterative search arithmetic to find the optimal decision vectors.
This paper presents an optimal regulation programme, grey fuzzy stochastic dynamic programming (GFSDP), for reservoir operation. It is composed of a grey system, fuzzy theory and dynamicprogramming. The grey system r...
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This paper presents an optimal regulation programme, grey fuzzy stochastic dynamic programming (GFSDP), for reservoir operation. It is composed of a grey system, fuzzy theory and dynamicprogramming. The grey system represents data by covering the whole range without loss of generality, and the fuzzy arithmetic takes charge of the rules of reservoir operation. The GFSDP deals with the multipurpose decision-making problem by fuzzy optimization theorem. The practicability and effectiveness of the proposed approach is tested on the operation of the Shiman reservoir in Taiwan. The current M5 operating rule curves of this reservoir also are evaluated. The simulation results demonstrate that this new approach, in comparison with the M5 rule curves, has superior performance with regard to the total water deficit and number of monthly deficits. Copyright (C) 2002 John Wiley Sons, Ltd.
A portfolio selection model is derived for diffusions where inequality constraints are imposed on portfolio security weights. Using the method of stochastic dynamic programming Hamilton-Jacobi-Bellman (HJB) equations ...
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In this paper we discuss the costate variable in a stochastic optimal control model of a renewable natural resource, which we call a fishery. The role of the costate variable in deterministic control models has been d...
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[1] The objective of this paper is to present a genetic algorithm-based stochastic dynamic programming (GA-based SDP) to cope with the dimensionality problem of a multiple-reservoir system. The joint long-term operati...
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[1] The objective of this paper is to present a genetic algorithm-based stochastic dynamic programming (GA-based SDP) to cope with the dimensionality problem of a multiple-reservoir system. The joint long-term operation of a parallel reservoir system in the Feitsui and Shihmen reservoirs in northern Taiwan demonstrates the successful application of the proposed GA-based SDP model. Within the case study system it is believed that GA is a useful technique in supporting optimization. Though the employment of GA-based SDP may be time consuming as it proceeds through generation by generation, the model can overcome the "dimensionality curse'' in searching solutions. Simulation results show Feitsui's surplus water can be utilized efficiently to fill Shihmen's deficit water without affecting Feitsui's main purpose as Taipei city's water supply. The optimal joint operation suggests that Feitsui, on average, can provide 650,000 m(3)/day and 920,000 m(3)/day to Shihmen during the wet season and dry season, respectively.
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