A reliability system analysis with stochastic differential equation and non-linear DP equation
| Project/Area Number |
13680523
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
社会システム工学
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| Research Institution | The University of Tokushima |
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Principal Investigator |
OHASHI Mamoru Faculty of Integrated Arts and Sciences Professor, 総合科学部, 教授 (50141924)
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| Project Period (FY) |
2001 – 2002
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| Project Status |
Completed (Fiscal Year 2002)
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| Budget Amount *help |
¥500,000 (Direct Cost: ¥500,000)
Fiscal Year 2002: ¥500,000 (Direct Cost: ¥500,000)
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| Keywords | stochastic differential equation / DP equation / reliability system |
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| Research Abstract |
1 Purposes of this study are (1) When coefficients of a linear system obey a markov chain, I obtain the stability conditions of the probability linear system. (2) When the probability linear system is stable, I obtain relations with the optimal control policy and viscosity solution of a non-linear DP equation under a suitable criterion. (3) I study algorithms to obtain the solution of a stochastic differential equation.
2 Last year I examined the stability of the linear system with randome parameters obeyed a Markovchain. In particular I studied relations with an exponential function of Martingale and a stochastic differential equation. I adapt this method in analysis of the linear system with random parameters obeyed a Markov chain.
This year I studied the Q-learning for Markov decision processes, and presented Research Institute for Mathematical Sciences KOKYUROKU "Mathematical decision making under uncertainty."
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Report
(3 results)
Research Products
(11 results)
