Nonlinear stochastic and dynamic decision processes by invariantAnd imbedding methods
| Project/Area Number |
21540132
|
|---|
| Research Category |
Grant-in-Aid for Scientific Research (C)
|
| Allocation Type | Single-year Grants |
|---|
| Section | 一般 |
|---|
| Research Field |
General mathematics (including Probability theory/Statistical mathematics)
|
|---|
| Research Institution | Kochi University |
|---|
Principal Investigator |
OHTSUBO Yoshio 高知大学, 教育研究部自然科学系, 教授 (20136360)
|
|---|
| Co-Investigator(Kenkyū-buntansha) |
YASUDA Masami 千葉大学, 名誉教授 (00041244)
YOSHIDA Yuji 北九州大学, 経済学部, 教授 (90192426)
|
|---|
| Co-Investigator(Renkei-kenkyūsha) |
NOMAKUCHI Kentarou 高知大学, 教育研究部自然科学系, 教授 (60124806)
IWAMOTO Seiichi 九州大学, 名誉教授 (90037284)
|
|---|
| Project Period (FY) |
2009 – 2012
|
| Project Status |
Completed (Fiscal Year 2012)
|
| Budget Amount *help |
¥4,550,000 (Direct Cost: ¥3,500,000、Indirect Cost: ¥1,050,000)
Fiscal Year 2012: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2011: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2010: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2009: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
|
|---|
| Keywords | 数理モデル / 計画数学 / マルコフ決定過程 / リスク最小化 / 動的計画 / ポートフォーリオ / 最適方程式 / フィボナッチ数列 / 強自動連続性 / 閾値確率 / 最適政策 / 零和停止ゲーム / セミマルコフ決定過程 / リスク最小化問題 / 零和ゲーム / 鞍部点 / 黄金最適性 / 黄金パス / 区間ベイズ手法 |
|---|
| Research Abstract |
We consider undiscounted semi-Markov decision process with a target set and our main concern is a problem minimizing threshold probability. We formulate the problem as an infinite horizon case with a recurrent class. We show that an optimal value function is a unique solution to an optimality equation and there exists a stationary optimal policy. Also several value iteration methods and a policy improvement method are given in our model. Furthermore, we investigate a relationship between threshold probabilities and expectations for total rewards.
|
Report
(5 results)
Research Products
(36 results)
