| 引用本文: | 谷建湘.马尔可夫链最优停止的值函数.[J].国防科技大学学报,1990,12(1):1-11.[点击复制] |
| Gu Jianxiang.The Value Function of Optimal Stopping for Markov Chains[J].Journal of National University of Defense Technology,1990,12(1):1-11[点击复制] |
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| 马尔可夫链最优停止的值函数 |
| 谷建湘 |
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(系统工程与应用数学系)
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| 摘要: |
| 本文讨论了时间无限的马尔可夫链的最优停止问题。对于无限状态情况，给出了其最优停止变量以及值函数存在的一个充分条件；对于有限状态情况，这个充分条件以及问题的计算等价于解一个线性规划问题。 |
| 关键词: 马尔可夫链.停止变量，不动点，线性规划 |
| DOI： |
| 投稿日期：1988-11-17 |
| 基金项目: |
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| The Value Function of Optimal Stopping for Markov Chains |
| Gu Jianxiang |
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(Department of Applied Mathematics and System Engineering)
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| Abstract: |
| Optimal Stopping for Markov chains with infinite time has been discussed in this paper. The sufficient condition for the existence of the optimal stopping variable and the value function of the optimal stopping for Markov chains with infinite states has been obtained. The results show that the condition and calculation of the optimal stopping problem for Markov chains with finite states are equivalent to solving some linear programs. |
| Keywords: Markov chain,linear programming,stopping variable,fixed point |
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