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Finite horizon semi-Markov decision processes with application to maintenance systems

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  • Huang, Yonghui
  • Guo, Xianping

Abstract

This paper investigates finite horizon semi-Markov decision processes with denumerable states. The optimality is over the class of all randomized history-dependent policies which include states and also planning horizons, and the cost rate function is assumed to be bounded below. Under suitable conditions, we show that the value function is a minimum nonnegative solution to the optimality equation and there exists an optimal policy. Moreover, we develop an effective algorithm for computing optimal policies, derive some properties of optimal policies, and in addition, illustrate our main results with a maintenance system.

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  • Huang, Yonghui & Guo, Xianping, 2011. "Finite horizon semi-Markov decision processes with application to maintenance systems," European Journal of Operational Research, Elsevier, vol. 212(1), pages 131-140, July.
    • Handle: RePEc:eee:ejores:v:212:y:2011:i:1:p:131-140
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    Cited by:

    1. Fang Chen & Xianping Guo & Zhong-Wei Liao, 2022. "Optimal Stopping Time on Semi-Markov Processes with Finite Horizon," Journal of Optimization Theory and Applications, Springer, vol. 194(2), pages 408-439, August.
    2. Sadoghi, Amirhossein & Vecer, Jan, 2022. "Optimal liquidation problem in illiquid markets," European Journal of Operational Research, Elsevier, vol. 296(3), pages 1050-1066.
    3. Amirhossein Sadoghi & Jan Vecer, 2022. "Optimal liquidation problem in illiquid markets," Post-Print hal-03696768, HAL.
    4. Insua, David Rios & Ruggeri, Fabrizio & Soyer, Refik & Wilson, Simon, 2020. "Advances in Bayesian decision making in reliability," European Journal of Operational Research, Elsevier, vol. 282(1), pages 1-18.
    5. Sharafali, Moosa & Tarakci, Hakan & Kulkarni, Shailesh & Razack Shahul Hameed, Raja Abdul, 2019. "Optimal delivery due date for a supplier with an unreliable machine under outsourced maintenance," International Journal of Production Economics, Elsevier, vol. 208(C), pages 53-68.
    6. Antoine Jacquier & Hao Liu, 2017. "Optimal liquidation in a Level-I limit order book for large tick stocks," Papers 1701.01327, arXiv.org, revised Nov 2017.

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