Selecting the best stable stochastic system

Y. Rubinstein

Stochastic Processes and their Applications, 1980, vol. 10, issue 1, 75-85

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

Date: 1980
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