This paper studies the limit average variance criterion for continuous-time Markov decision processes in Polish spaces. Based on two approaches, this paper proves not only the existence of solutions to the variance mi...This paper studies the limit average variance criterion for continuous-time Markov decision processes in Polish spaces. Based on two approaches, this paper proves not only the existence of solutions to the variance minimization optimality equation and the existence of a variance minimal policy that is canonical, but also the existence of solutions to the two variance minimization optimality inequalities and the existence of a variance minimal policy which may not be canonical. An example is given to illustrate all of our conditions.展开更多
This paper considers the variance optimization problem of average reward in continuous-time Markov decision process (MDP). It is assumed that the state space is countable and the action space is Borel measurable space...This paper considers the variance optimization problem of average reward in continuous-time Markov decision process (MDP). It is assumed that the state space is countable and the action space is Borel measurable space. The main purpose of this paper is to find the policy with the minimal variance in the deterministic stationary policy space. Unlike the traditional Markov decision process, the cost function in the variance criterion will be affected by future actions. To this end, we convert the variance minimization problem into a standard (MDP) by introducing a concept called pseudo-variance. Further, by giving the policy iterative algorithm of pseudo-variance optimization problem, the optimal policy of the original variance optimization problem is derived, and a sufficient condition for the variance optimal policy is given. Finally, we use an example to illustrate the conclusion of this paper.展开更多
This paper studies the strong n(n =—1,0)-discount and finite horizon criteria for continuoustime Markov decision processes in Polish spaces.The corresponding transition rates are allowed to be unbounded,and the rewar...This paper studies the strong n(n =—1,0)-discount and finite horizon criteria for continuoustime Markov decision processes in Polish spaces.The corresponding transition rates are allowed to be unbounded,and the reward rates may have neither upper nor lower bounds.Under mild conditions,the authors prove the existence of strong n(n =—1,0)-discount optimal stationary policies by developing two equivalence relations:One is between the standard expected average reward and strong—1-discount optimality,and the other is between the bias and strong 0-discount optimality.The authors also prove the existence of an optimal policy for a finite horizon control problem by developing an interesting characterization of a canonical triplet.展开更多
In this paper we study the average sample-path cost （ASPC） problem for continuous-time Markov decision processes in Polish spaces. To the best of our knowledge, this paper is a first attempt to study the ASPC criter...In this paper we study the average sample-path cost （ASPC） problem for continuous-time Markov decision processes in Polish spaces. To the best of our knowledge, this paper is a first attempt to study the ASPC criterion on continuous-time MDPs with Polish state and action spaces. The corresponding transition rates are allowed to be unbounded, and the cost rates may have neither upper nor lower bounds. Under some mild hypotheses, we prove the existence of （ε〉 0）-ASPC optimal stationary policies based on two different approaches： one is the ＂optimality equation＂ approach and the other is the ＂two optimality inequalities＂ approach.展开更多
This paper studies denumerable continuous-time Markov decision processes with expected total reward criteria. The authors first study the unconstrained model with possible unbounded transition rates, and give suitable...This paper studies denumerable continuous-time Markov decision processes with expected total reward criteria. The authors first study the unconstrained model with possible unbounded transition rates, and give suitable conditions on the controlled system＇s primitive data under which the authors show the existence of a solution to the total reward optimality equation and also the existence of an optimal stationary policy. Then, the authors impose a constraint on an expected total cost, and consider the associated constrained model. Basing on the results about the unconstrained model and using the Lagrange multipliers approach, the authors prove the existence of constrained-optimal policies under some additional conditions. Finally, the authors apply the results to controlled queueing systems.展开更多
This paper attempts to study the convergence of optimal values and optimal policies of continuous-time Markov decision processes(CTMDP for short)under the constrained average criteria. For a given original model M_∞o...This paper attempts to study the convergence of optimal values and optimal policies of continuous-time Markov decision processes(CTMDP for short)under the constrained average criteria. For a given original model M_∞of CTMDP with denumerable states and a sequence {M_n} of CTMDP with finite states, we give a new convergence condition to ensure that the optimal values and optimal policies of {M_n} converge to the optimal value and optimal policy of M_∞as the state space Snof Mnconverges to the state space S_∞of M_∞, respectively. The transition rates and cost/reward functions of M_∞are allowed to be unbounded. Our approach can be viewed as a combination method of linear program and Lagrange multipliers.展开更多
A real-time pricing system of electricity is a system that charges different electricity prices for different hours of the day and for different days, and is effective for reducing the peak and flattening the load cur...A real-time pricing system of electricity is a system that charges different electricity prices for different hours of the day and for different days, and is effective for reducing the peak and flattening the load curve. In this paper, using a Markov decision process (MDP), we propose a modeling method and an optimal control method for real-time pricing systems. First, the outline of real-time pricing systems is explained. Next, a model of a set of customers is derived as a multi-agent MDP. Furthermore, the optimal control problem is formulated, and is reduced to a quadratic programming problem. Finally, a numerical simulation is presented.展开更多
Optimal policies in Markov decision problems may be quite sensitive with regard to transition probabilities.In practice,some transition probabilities may be uncertain.The goals of the present study are to find the rob...Optimal policies in Markov decision problems may be quite sensitive with regard to transition probabilities.In practice,some transition probabilities may be uncertain.The goals of the present study are to find the robust range for a certain optimal policy and to obtain value intervals of exact transition probabilities.Our research yields powerful contributions for Markov decision processes(MDPs)with uncertain transition probabilities.We first propose a method for estimating unknown transition probabilities based on maximum likelihood.Since the estimation may be far from accurate,and the highest expected total reward of the MDP may be sensitive to these transition probabilities,we analyze the robustness of an optimal policy and propose an approach for robust analysis.After giving the definition of a robust optimal policy with uncertain transition probabilities represented as sets of numbers,we formulate a model to obtain the optimal policy.Finally,we define the value intervals of the exact transition probabilities and construct models to determine the lower and upper bounds.Numerical examples are given to show the practicability of our methods.展开更多
Gearbox in offshore wind turbines is a component with the highest failure rates during operation. Analysis of gearbox repair policy that includes economic considerations is important for the effective operation of off...Gearbox in offshore wind turbines is a component with the highest failure rates during operation. Analysis of gearbox repair policy that includes economic considerations is important for the effective operation of offshore wind farms. From their initial perfect working states, gearboxes degrade with time, which leads to decreased working efficiency. Thus, offshore wind turbine gearboxes can be considered to be multi-state systems with the various levels of productivity for different working states. To efficiently compute the time-dependent distribution of this multi-state system and analyze its reliability, application of the nonhomogeneous continuous-time Markov process(NHCTMP) is appropriate for this type of object. To determine the relationship between operation time and maintenance cost, many factors must be taken into account, including maintenance processes and vessel requirements. Finally, an optimal repair policy can be formulated based on this relationship.展开更多
This paper proposes a technique to accelerate the convergence of the value iteration algorithm applied to discrete average cost Markov decision processes. An adaptive partial information value iteration algorithm is p...This paper proposes a technique to accelerate the convergence of the value iteration algorithm applied to discrete average cost Markov decision processes. An adaptive partial information value iteration algorithm is proposed that updates an increasingly accurate approximate version of the original problem with a view to saving computations at the early iterations, when one is typically far from the optimal solution. The proposed algorithm is compared to classical value iteration for a broad set of adaptive parameters and the results suggest that significant computational savings can be obtained, while also ensuring a robust performance with respect to the parameters.展开更多
We consider risk minimization problems for Markov decision processes. From a standpoint of making the risk of random reward variable at each time as small as possible, a risk measure is introduced using conditional va...We consider risk minimization problems for Markov decision processes. From a standpoint of making the risk of random reward variable at each time as small as possible, a risk measure is introduced using conditional value-at-risk for random immediate reward variables in Markov decision processes, under whose risk measure criteria the risk-optimal policies are characterized by the optimality equations for the discounted or average case. As an application, the inventory models are considered.展开更多
In recent years, ride-on-demand (RoD) services such as Uber and Didi are becoming increasingly popular. Different from traditional taxi services, RoD services adopt dynamic pricing mechanisms to manipulate the supply ...In recent years, ride-on-demand (RoD) services such as Uber and Didi are becoming increasingly popular. Different from traditional taxi services, RoD services adopt dynamic pricing mechanisms to manipulate the supply and demand on the road, and such mechanisms improve service capacity and quality. Seeking route recommendation has been widely studied in taxi service. In RoD services, the dynamic price is a new and accurate indicator that represents the supply and demand condition, but it is yet rarely studied in providing clues for drivers to seek for passengers. In this paper, we proposed to incorporate the impacts of dynamic prices as a key factor in recommending seeking routes to drivers. We first showed the importance and need to do that by analyzing real service data. We then designed a Markov Decision Process (MDP) model based on passenger order and car GPS trajectories datasets, and took into account dynamic prices in designing rewards. Results show that our model not only guides drivers to locations with higher prices, but also significantly improves driver revenue. Compared with things with the drivers before using the model, the maximum yield after using it can be increased to 28%.展开更多
A network selection optimization algorithm based on the Markov decision process(MDP)is proposed so that mobile terminals can always connect to the best wireless network in a heterogeneous network environment.Consideri...A network selection optimization algorithm based on the Markov decision process(MDP)is proposed so that mobile terminals can always connect to the best wireless network in a heterogeneous network environment.Considering the different types of service requirements,the MDP model and its reward function are constructed based on the quality of service(QoS)attribute parameters of the mobile users,and the network attribute weights are calculated by using the analytic hierarchy process(AHP).The network handoff decision condition is designed according to the different types of user services and the time-varying characteristics of the network,and the MDP model is solved by using the genetic algorithm and simulated annealing(GA-SA),thus,users can seamlessly switch to the network with the best long-term expected reward value.Simulation results show that the proposed algorithm has good convergence performance,and can guarantee that users with different service types will obtain satisfactory expected total reward values and have low numbers of network handoffs.展开更多
In order to solve the problem the existing vertical handoff algorithms of vehicle heterogeneous wireless network do not consider the diversification of network's status, an optimized vertical handoff algorithm bas...In order to solve the problem the existing vertical handoff algorithms of vehicle heterogeneous wireless network do not consider the diversification of network's status, an optimized vertical handoff algorithm based on markov process is proposed and discussed in this paper. This algorithm takes into account that the status transformation of available network will affect the quality of service(Qo S) of vehicle terminal's communication service. Firstly, Markov process is used to predict the transformation of wireless network's status after the decision via transition probability. Then the weights of evaluating parameters will be determined by fuzzy logic method. Finally, by comparing the total incomes of each wireless network, including handoff decision incomes, handoff execution incomes and communication service incomes after handoff, the optimal network to handoff will be selected. Simulation results show that: the algorithm proposed, compared to the existing algorithm, is able to receive a higher level of load balancing and effectively improves the average blocking rate, packet loss rate and ping-pang effect.展开更多
In this paper we carried out a probabilistic analysis for a machine repair system with a general service-time distribution by means of generalized Markov renewal processes. Some formulas for the steady-state performan...In this paper we carried out a probabilistic analysis for a machine repair system with a general service-time distribution by means of generalized Markov renewal processes. Some formulas for the steady-state performance measures. such as the distribution of queue sizes, average queue length, degree of repairman utilization and so on. are then derived. Finally, the machine repair model and a multiple critcria decision-making method are applied to study machine assignment problem with a general service-time distribution to determine the optimum number of machines being serviced by one repairman.展开更多
In this paper,we study the distributionally robust joint chance-constrained Markov decision process.Utilizing the logarithmic transformation technique,we derive its deterministic reformulation with bi-convex terms und...In this paper,we study the distributionally robust joint chance-constrained Markov decision process.Utilizing the logarithmic transformation technique,we derive its deterministic reformulation with bi-convex terms under the moment-based uncertainty set.To cope with the non-convexity and improve the robustness of the solution,we propose a dynamical neural network approach to solve the reformulated optimization problem.Numerical results on a machine replacement problem demonstrate the efficiency of the proposed dynamical neural network approach when compared with the sequential convex approximation approach.展开更多
Considering the dynamic character of repeated games and Markov process, this paper presented a novel dynamic decision model for symmetric repeated games. In this model, players＇ actions were mapped to a Markov decisi...Considering the dynamic character of repeated games and Markov process, this paper presented a novel dynamic decision model for symmetric repeated games. In this model, players＇ actions were mapped to a Markov decision process with payoffs, and the Boltzmann distribution was intousluced. Our dynamic model is different from others＇ , we used this dynamic model to study the iterated prisoner＇ s dilemma, and the results show that this decision model can successfully be used in symmetric repeated games and has an ability of adaptive learning.展开更多
基金supported by the National Natural Science Foundation of China(10801056)the Natural Science Foundation of Ningbo(2010A610094)
文摘This paper studies the limit average variance criterion for continuous-time Markov decision processes in Polish spaces. Based on two approaches, this paper proves not only the existence of solutions to the variance minimization optimality equation and the existence of a variance minimal policy that is canonical, but also the existence of solutions to the two variance minimization optimality inequalities and the existence of a variance minimal policy which may not be canonical. An example is given to illustrate all of our conditions.
文摘This paper considers the variance optimization problem of average reward in continuous-time Markov decision process (MDP). It is assumed that the state space is countable and the action space is Borel measurable space. The main purpose of this paper is to find the policy with the minimal variance in the deterministic stationary policy space. Unlike the traditional Markov decision process, the cost function in the variance criterion will be affected by future actions. To this end, we convert the variance minimization problem into a standard (MDP) by introducing a concept called pseudo-variance. Further, by giving the policy iterative algorithm of pseudo-variance optimization problem, the optimal policy of the original variance optimization problem is derived, and a sufficient condition for the variance optimal policy is given. Finally, we use an example to illustrate the conclusion of this paper.
基金supported by the National Natural Science Foundation of China under Grant Nos.61374080 and 61374067the Natural Science Foundation of Zhejiang Province under Grant No.LY12F03010+1 种基金the Natural Science Foundation of Ningbo under Grant No.2012A610032Project Funded by the Priority Academic Program Development of Jiangsu Higher Education Institutions
文摘This paper studies the strong n(n =—1,0)-discount and finite horizon criteria for continuoustime Markov decision processes in Polish spaces.The corresponding transition rates are allowed to be unbounded,and the reward rates may have neither upper nor lower bounds.Under mild conditions,the authors prove the existence of strong n(n =—1,0)-discount optimal stationary policies by developing two equivalence relations:One is between the standard expected average reward and strong—1-discount optimality,and the other is between the bias and strong 0-discount optimality.The authors also prove the existence of an optimal policy for a finite horizon control problem by developing an interesting characterization of a canonical triplet.
基金Supported by the National Natural Science Foundation of China (No.10801056)the Natural Science Foundation of Ningbo (No. 2010A610094)K.C. Wong Magna Fund in Ningbo University
文摘In this paper we study the average sample-path cost （ASPC） problem for continuous-time Markov decision processes in Polish spaces. To the best of our knowledge, this paper is a first attempt to study the ASPC criterion on continuous-time MDPs with Polish state and action spaces. The corresponding transition rates are allowed to be unbounded, and the cost rates may have neither upper nor lower bounds. Under some mild hypotheses, we prove the existence of （ε〉 0）-ASPC optimal stationary policies based on two different approaches： one is the ＂optimality equation＂ approach and the other is the ＂two optimality inequalities＂ approach.
基金supported by the National Natural Science Foundation of China under Grant Nos.10925107 and 60874004
文摘This paper studies denumerable continuous-time Markov decision processes with expected total reward criteria. The authors first study the unconstrained model with possible unbounded transition rates, and give suitable conditions on the controlled system＇s primitive data under which the authors show the existence of a solution to the total reward optimality equation and also the existence of an optimal stationary policy. Then, the authors impose a constraint on an expected total cost, and consider the associated constrained model. Basing on the results about the unconstrained model and using the Lagrange multipliers approach, the authors prove the existence of constrained-optimal policies under some additional conditions. Finally, the authors apply the results to controlled queueing systems.
文摘This paper attempts to study the convergence of optimal values and optimal policies of continuous-time Markov decision processes(CTMDP for short)under the constrained average criteria. For a given original model M_∞of CTMDP with denumerable states and a sequence {M_n} of CTMDP with finite states, we give a new convergence condition to ensure that the optimal values and optimal policies of {M_n} converge to the optimal value and optimal policy of M_∞as the state space Snof Mnconverges to the state space S_∞of M_∞, respectively. The transition rates and cost/reward functions of M_∞are allowed to be unbounded. Our approach can be viewed as a combination method of linear program and Lagrange multipliers.
文摘A real-time pricing system of electricity is a system that charges different electricity prices for different hours of the day and for different days, and is effective for reducing the peak and flattening the load curve. In this paper, using a Markov decision process (MDP), we propose a modeling method and an optimal control method for real-time pricing systems. First, the outline of real-time pricing systems is explained. Next, a model of a set of customers is derived as a multi-agent MDP. Furthermore, the optimal control problem is formulated, and is reduced to a quadratic programming problem. Finally, a numerical simulation is presented.
基金Supported by the National Natural Science Foundation of China(71571019).
文摘Optimal policies in Markov decision problems may be quite sensitive with regard to transition probabilities.In practice,some transition probabilities may be uncertain.The goals of the present study are to find the robust range for a certain optimal policy and to obtain value intervals of exact transition probabilities.Our research yields powerful contributions for Markov decision processes(MDPs)with uncertain transition probabilities.We first propose a method for estimating unknown transition probabilities based on maximum likelihood.Since the estimation may be far from accurate,and the highest expected total reward of the MDP may be sensitive to these transition probabilities,we analyze the robustness of an optimal policy and propose an approach for robust analysis.After giving the definition of a robust optimal policy with uncertain transition probabilities represented as sets of numbers,we formulate a model to obtain the optimal policy.Finally,we define the value intervals of the exact transition probabilities and construct models to determine the lower and upper bounds.Numerical examples are given to show the practicability of our methods.
文摘Gearbox in offshore wind turbines is a component with the highest failure rates during operation. Analysis of gearbox repair policy that includes economic considerations is important for the effective operation of offshore wind farms. From their initial perfect working states, gearboxes degrade with time, which leads to decreased working efficiency. Thus, offshore wind turbine gearboxes can be considered to be multi-state systems with the various levels of productivity for different working states. To efficiently compute the time-dependent distribution of this multi-state system and analyze its reliability, application of the nonhomogeneous continuous-time Markov process(NHCTMP) is appropriate for this type of object. To determine the relationship between operation time and maintenance cost, many factors must be taken into account, including maintenance processes and vessel requirements. Finally, an optimal repair policy can be formulated based on this relationship.
文摘This paper proposes a technique to accelerate the convergence of the value iteration algorithm applied to discrete average cost Markov decision processes. An adaptive partial information value iteration algorithm is proposed that updates an increasingly accurate approximate version of the original problem with a view to saving computations at the early iterations, when one is typically far from the optimal solution. The proposed algorithm is compared to classical value iteration for a broad set of adaptive parameters and the results suggest that significant computational savings can be obtained, while also ensuring a robust performance with respect to the parameters.
文摘We consider risk minimization problems for Markov decision processes. From a standpoint of making the risk of random reward variable at each time as small as possible, a risk measure is introduced using conditional value-at-risk for random immediate reward variables in Markov decision processes, under whose risk measure criteria the risk-optimal policies are characterized by the optimality equations for the discounted or average case. As an application, the inventory models are considered.
文摘In recent years, ride-on-demand (RoD) services such as Uber and Didi are becoming increasingly popular. Different from traditional taxi services, RoD services adopt dynamic pricing mechanisms to manipulate the supply and demand on the road, and such mechanisms improve service capacity and quality. Seeking route recommendation has been widely studied in taxi service. In RoD services, the dynamic price is a new and accurate indicator that represents the supply and demand condition, but it is yet rarely studied in providing clues for drivers to seek for passengers. In this paper, we proposed to incorporate the impacts of dynamic prices as a key factor in recommending seeking routes to drivers. We first showed the importance and need to do that by analyzing real service data. We then designed a Markov Decision Process (MDP) model based on passenger order and car GPS trajectories datasets, and took into account dynamic prices in designing rewards. Results show that our model not only guides drivers to locations with higher prices, but also significantly improves driver revenue. Compared with things with the drivers before using the model, the maximum yield after using it can be increased to 28%.
基金partially supported by Nation Science Foundation of China (61661025, 61661026)Foundation of A hundred Youth Talents Training Program of Lanzhou Jiaotong University (152022)
文摘A network selection optimization algorithm based on the Markov decision process(MDP)is proposed so that mobile terminals can always connect to the best wireless network in a heterogeneous network environment.Considering the different types of service requirements,the MDP model and its reward function are constructed based on the quality of service(QoS)attribute parameters of the mobile users,and the network attribute weights are calculated by using the analytic hierarchy process(AHP).The network handoff decision condition is designed according to the different types of user services and the time-varying characteristics of the network,and the MDP model is solved by using the genetic algorithm and simulated annealing(GA-SA),thus,users can seamlessly switch to the network with the best long-term expected reward value.Simulation results show that the proposed algorithm has good convergence performance,and can guarantee that users with different service types will obtain satisfactory expected total reward values and have low numbers of network handoffs.
基金supported in part by the National Natural Science Foundation of China under grant No. 61271259, No. 61301123, No. 61471076Scientific and Technological Research Program of Chongqing Municipal Education Commission of Chongqing of China under Grant No.KJ130536
文摘In order to solve the problem the existing vertical handoff algorithms of vehicle heterogeneous wireless network do not consider the diversification of network's status, an optimized vertical handoff algorithm based on markov process is proposed and discussed in this paper. This algorithm takes into account that the status transformation of available network will affect the quality of service(Qo S) of vehicle terminal's communication service. Firstly, Markov process is used to predict the transformation of wireless network's status after the decision via transition probability. Then the weights of evaluating parameters will be determined by fuzzy logic method. Finally, by comparing the total incomes of each wireless network, including handoff decision incomes, handoff execution incomes and communication service incomes after handoff, the optimal network to handoff will be selected. Simulation results show that: the algorithm proposed, compared to the existing algorithm, is able to receive a higher level of load balancing and effectively improves the average blocking rate, packet loss rate and ping-pang effect.
文摘In this paper we carried out a probabilistic analysis for a machine repair system with a general service-time distribution by means of generalized Markov renewal processes. Some formulas for the steady-state performance measures. such as the distribution of queue sizes, average queue length, degree of repairman utilization and so on. are then derived. Finally, the machine repair model and a multiple critcria decision-making method are applied to study machine assignment problem with a general service-time distribution to determine the optimum number of machines being serviced by one repairman.
基金supported by National Natural Science Foundation of China(Grant Nos.11991023 and 12371324)National Key R&D Program of China(Grant No.2022YFA1004000)。
文摘In this paper,we study the distributionally robust joint chance-constrained Markov decision process.Utilizing the logarithmic transformation technique,we derive its deterministic reformulation with bi-convex terms under the moment-based uncertainty set.To cope with the non-convexity and improve the robustness of the solution,we propose a dynamical neural network approach to solve the reformulated optimization problem.Numerical results on a machine replacement problem demonstrate the efficiency of the proposed dynamical neural network approach when compared with the sequential convex approximation approach.
基金We also acknowledge the support by the National Natural Science Foundation of China （Grant No. 60574071）.
文摘Considering the dynamic character of repeated games and Markov process, this paper presented a novel dynamic decision model for symmetric repeated games. In this model, players＇ actions were mapped to a Markov decision process with payoffs, and the Boltzmann distribution was intousluced. Our dynamic model is different from others＇ , we used this dynamic model to study the iterated prisoner＇ s dilemma, and the results show that this decision model can successfully be used in symmetric repeated games and has an ability of adaptive learning.
