| 引用本文: | 金治明.最小、最大广义最优停止规则的特征.[J].国防科技大学学报,1990,12(3):58-62.[点击复制] |
| Jin Zhiming.On the Character of the Smallest and Largest Optimal Generated Rule[J].Journal of National University of Defense Technology,1990,12(3):58-62[点击复制] |
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| 最小、最大广义最优停止规则的特征 |
| 金治明 |
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(系统工程与应用数学系)
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| 摘要: |
| 设(Xn，?n)∞1是适应的报酬序列，(γn)是相应的snell包，（A n）是 (γn)的Doob-Meyer 分解中零初值的可料增过程。本文继J. Klass的研究证明了σ1=inf{K≥1:Xk≥γk}是最小半最优的且是最大严格正则的广义规则，而K0=sup{n≥0:An=0}<∞是最大正则的广义规则,从而得出了广义最优规则唯一性的另一表述。 |
| 关键词: 随机过程，马尔可夫过程，最优化，广义最优停止规则，半最优，严格正则 |
| DOI： |
| 投稿日期：1988-06-30 |
| 基金项目: |
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| On the Character of the Smallest and Largest Optimal Generated Rule |
| Jin Zhiming |
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(Department of Applied Mathematics and System Engineering)
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| Abstract: |
| Assume that (Xn，?n)∞1 is an adapted reward sequence， (γn）∞1) is snell's envelope of Xn，(An) is a predictable increased process with A0=0 in Doob-Meyer's decomposition of (γn). In this paper，from J. Klass，we prove that σ1=inf{K≥1:Xk1≥γk} is the smallest semi-optimal and the largest strong regular generalized rule，and K0?sup{n≥0:An=0}<∞ is the largest reqular generalized rule. Hence another expression of the uniqueness of optimal generalized rule is given. |
| Keywords: random process,Markov process,optimization,optimal generalized rule,semi-optimal,strong reqular rule |
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