An Optimal Threshold Policy in Applications of a Two-State Markov Process

DOI10.1007/978-3-319-00669-7_11zbMath1290.49049OpenAlexW75920221MaRDI QIDQ4979409

Eugene Khmelnitsky

Publication date: 20 June 2014

Published in: International Series in Operations Research & Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-00669-7_11

zbMATH Keywords

necessary optimality conditionsstate-costate dynamicstwo-state Markov processoptimal threshold policyregular and singular control regimes

Mathematics Subject Classification ID

Applications of optimal control and differential games (49N90) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Optimality conditions for problems involving randomness (49K45)

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• Optimal control of production rate in a failure prone manufacturing system
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• A Survey of the Maximum Principles for Optimal Control Problems with State Constraints

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