48,808 research outputs found

    On the connections between PCTL and Dynamic Programming

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    Probabilistic Computation Tree Logic (PCTL) is a well-known modal logic which has become a standard for expressing temporal properties of finite-state Markov chains in the context of automated model checking. In this paper, we give a definition of PCTL for noncountable-space Markov chains, and we show that there is a substantial affinity between certain of its operators and problems of Dynamic Programming. After proving some uniqueness properties of the solutions to the latter, we conclude the paper with two examples to show that some recovery strategies in practical applications, which are naturally stated as reach-avoid problems, can be actually viewed as particular cases of PCTL formulas.Comment: Submitte

    Portfolio Optimization under Partial Information with Expert Opinions: a Dynamic Programming Approach

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    This paper investigates optimal portfolio strategies in a market where the drift is driven by an unobserved Markov chain. Information on the state of this chain is obtained from stock prices and expert opinions in the form of signals at random discrete time points. As in Frey et al. (2012), Int. J. Theor. Appl. Finance, 15, No. 1, we use stochastic filtering to transform the original problem into an optimization problem under full information where the state variable is the filter for the Markov chain. The dynamic programming equation for this problem is studied with viscosity-solution techniques and with regularization arguments.Comment: 31 page

    A DYNAMIC MODEL FOR DETERMINING OPTIMAL RANGE IMPROVEMENT PROGRAMS

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    A Markov chain dynamic programming model is presented for determining optimal range improvement strategies as well as accompanying livestock production practices. The model specification focuses on the improved representation of rangeland dynamics and livestock response under alternative range conditions. The model is applied to range management decision making in the Cross Timbers Region of central Oklahoma. Results indicate that tebuthiuron treatments are economically feasible over the range of treatment costs evaluated. Optimal utilization of forage production following a treatment requires the conjunctive employment of prescribed burning and variable stocking rates over the treatmentÂ’s life.Land Economics/Use, Livestock Production/Industries,

    Strategic Location and Dispatch Management of Assets in a Military Medical Evacuation Enterprise

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    This dissertation considers the importance of optimizing deployed military medical evacuation (MEDEVAC) systems and utilizes operations research techniques to develop models that allow military medical planners to analyze different strategies regarding the management of MEDEVAC assets in a deployed environment. For optimization models relating to selected subproblems of the MEDEVAC enterprise, the work herein leverages integer programming, multi-objective optimization, Markov decision processes, approximate dynamic programming, and machine learning, as appropriate, to identify relevant insights for aerial MEDEVAC operations
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