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Selecting the best stable stochastic system

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  • Rubinstein, Y.

Abstract

An iterative algorithm is proposed for selecting the best system among a finite number of stable stochastic systems on the basis of a certain performance index. It is assumed that the stochastic processes which are associated with these systems are regenerative processes, whose characteristics are a priori unknown and can be evaluated only by simulating their regeneration cycles. As an example of such a system a Markovian decision process is considered

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  • Rubinstein, Y., 1980. "Selecting the best stable stochastic system," Stochastic Processes and their Applications, Elsevier, vol. 10(1), pages 75-85, June.
    • Handle: RePEc:eee:spapps:v:10:y:1980:i:1:p:75-85
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