Computation of the Optimal Policy for the Control of a Compound Immigration Process through Total Catastrophes

Epaminondas G. Kyriakidis () and Theodosis D. Dimitrakos ()
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Epaminondas G. Kyriakidis: University of the Aegean
Theodosis D. Dimitrakos: University of the Aegean

Methodology and Computing in Applied Probability, 2005, vol. 7, issue 1, 97-118

Abstract: Abstract In this paper we consider a Markov decision model introduced by Economou (2003), in which it was proved that the optimal policy in the problem of controlling a compound immigration process through total catastrophes is of control-limit type. We show that the average cost of a control-limit policy is unimodal as a function of the critical point. This result enables us to design very efficient algorithms for the computation of the optimal policy as the bisection procedure and a special-purpose policy iteration algorithm that operates on the class of control-limit policies.

Keywords: compound Poisson process; Markov decision process; control-limit policies; minimum average cost (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (5)

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DOI: 10.1007/s11009-005-6657-3

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