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A note on optimal switching between two activities

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  • Steven E. Shreve

Abstract

Let f1 and f2 map [0, T] into the real numbers. A system is following either f1 or f2 and earning the associated reward ∫ f1 or ∫ f2, respectively. It is possible at any time to switch from fi to fj by paying a switching cost b > 0. We determine a switching policy which maximizes the total reward. Conditions which guarantee a planning horizon are established.

Suggested Citation

  • Steven E. Shreve, 1981. "A note on optimal switching between two activities," Naval Research Logistics Quarterly, John Wiley & Sons, vol. 28(1), pages 185-190, March.
    • Handle: RePEc:wly:navlog:v:28:y:1981:i:1:p:185-190
    DOI: 10.1002/nav.3800280116
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