OPTIMAL STOPPING, EXPONENTIAL UTILITY, AND LINEAR-PROGRAMMING

被引：36

作者：

DENARDO, EV

ROTHBLUM, UG

机构：

[1] Yale University, New Haven, CT

来源：

MATHEMATICAL PROGRAMMING | 1979年 / 16卷 / 02期

关键词：

Exponential Utility; Linear Programming; Markov Decision Chains; Optimal Stopping;

D O I：

10.1007/BF01582110

中图分类号：

TP31 [计算机软件];

学科分类号：

081202 ; 0835 ;

摘要：

This paper uses linear programming to compute an optimal policy for a stopping problem whose utility function is exponential. This is done by transforming the problem into an equivalent one having additive utility and nonnegative (not necessarily substochastic) transition matrices. © 1979 The Mathematical Programming Society.

引用

页码：228 / 244

页数：17

共 13 条

[1]

dEpenoux F, 1960, REV FRANCAISE RECHER, V14, P3

[2]

EAVES BC, UNPUBLISHED

[3]

Gantmacher F. R., 1971, THEORY MATRICES

[4]

HOWARD RA, 1972, MANAGE SCI, V8, P356