NDLI: Adaptive Optimization of Markov Reward Processes

Content Provider	IEEE Xplore Digital Library
Author	Campos-Nanez, E. Patek, S.D.
Copyright Year	2005
Description	Author affiliation: Department of Engineering Management and Systems Engineering, The George Washington University, 1776, G Street Washington, DC, 20052, USA ecamposn@gwu.edu (Campos-Nanez, E.)
Abstract	We consider the problem of optimizing the average reward of Markov chains controlled by two sets of parameters 1) a set of tunable parameters and 2) a set of fixed but unknown parameters. We study the convergence characteristics of recursive estimation procedures based on the observation of regenerative cycles. We also provide sufficient conditions for the convergence to local optima of existing simulation-based optimization procedures under parameter certainty, in order to achieve simultaneous optimal selection of the tunable parameters and identification of the unknown parameters. To illustrate our approach, we discuss an algorithm which exploits the gradient of the likelihood of an observed regenerative cycle and its application to a regenerative simulation-based algorithm introduced in [1]. Our results are illustrated numerically in a problem of optimal pricing of services in a multi-class loss network.
Starting Page	8034
Ending Page	8041
File Size	300279
Page Count	8
File Format	PDF
ISBN	0780395670
DOI	10.1109/CDC.2005.1583462
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2005-12-15
Publisher Place	Spain
Access Restriction	Subscribed
Rights Holder	IEEE/EUCA
Subject Keyword	Dynamic programming Convergence Modeling Sufficient conditions Pricing Systems engineering and theory State estimation State-space methods Q factor Recursive estimation
Content Type	Text
Resource Type	Article

Sl.	Authority	Responsibilities	Communication Details
1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
5	Website/Portal (Helpdesk)	Queries regarding NDLI and its services	support@ndl.gov.in
6	Contents and Copyright Issues	Queries related to content curation and copyright issues	content@ndl.gov.in
7	National Digital Library of India Club (NDLI Club)	Queries related to NDLI Club formation, support, user awareness program, seminar/symposium, collaboration, social media, promotion, and outreach	clubsupport@ndl.gov.in
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9	IDR Setup or Support	Queries related to establishment and support of Institutional Digital Repository (IDR) and IDR workshops	idr@ndl.gov.in

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