| 引用本文: | 谷建湘.有限马氏链最优停止的线性规划解.[J].国防科技大学学报,1990,12(3):45-49.[点击复制] |
| Gu Jianxiang.A LP Solution to the Problem of the Optimal Stopping Discrete Finite Markov Chains[J].Journal of National University of Defense Technology,1990,12(3):45-49[点击复制] |
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| 有限马氏链最优停止的线性规划解 |
| 谷建湘 |
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(系统工程与应用数学系)
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| 摘要: |
| 离散时间的有限状态马尔可夫链最优停止的值函数存在的一个充分条件是所对应的线性规划有解，且其最优解等于值函数，本文证明这个条件还是必要的。 |
| 关键词: 随机过程，马尔可夫链，线性规划，停止变量 |
| DOI： |
| 投稿日期：1989-08-28 |
| 基金项目: |
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| A LP Solution to the Problem of the Optimal Stopping Discrete Finite Markov Chains |
| Gu Jianxiang |
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(Department of Applied Mathematics and System Engineering)
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| Abstract: |
| This paper deals with the optimal stopping problem for Markov chains with non-discounted total payment. Paper [2] proves a sufficient condition:
The value function of the optimal stopping problem for discrete finite Markov chains exists if the corresponding linear programming has a solution. This paper also shows that this condition is also necessary. |
| Keywords: stochastic process,Markov chain,linear programming,stopping variable |
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