Performance Analysis for Controlled Semi-Markov Systems with Application to Maintenance

Yonghui Huang (), Xianping Guo () and Xinyuan Song ()
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Yonghui Huang: Sun Yat-Sen University
Xianping Guo: Sun Yat-Sen University
Xinyuan Song: Chinese University of Hong Kong

Journal of Optimization Theory and Applications, 2011, vol. 150, issue 2, No 12, 395-415

Abstract: Abstract This paper concerns with the performance analysis for controlled semi-Markov systems in Borel state and action spaces. The performability of the system is defined as the probability that the system reaches a prescribed reward level during a first passage time to some target set. Under mild conditions, we develop a value iteration algorithm for computing the optimal value, and establish the existence of optimal policies with the maximal performability. Our main results are applied to a maintenance problem.

Keywords: Controlled semi-Markov processes; Target set; Optimal value function; Iteration algorithm; Optimal policy (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s10957-011-9813-7

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