Título de la tesis:

Autor/es:

Ruíz Hernández, Diego

Tipo de documento:

Tesis (Doctoral)

Universidad:

UPF

Departamento:

Economia i Empresa

Idioma:

Anglès

Palabras clave:

Markov Decision Problems, Dynamic Allocation, Stochastic Scheduling, Dynamic Programming, Multi-armed Bandit Problems, Restless Bandits, Gittins Indices, Indexability, Switching Penalties, Machine Maintenance

Fecha de la defensa:

13-04-2007

Notas:

Tesis dirigida por: Glazebrook, Kevin

Resumen: Abstract In this Thesis, we first deploy Gittins index theory to establish the indexability of inter-alia general families of restless bandits that arise in problems of stochastic scheduling with switching penalties and machine maintenance. We also give formulae for the resulting indices. Numerical investigations testify the strong performance of the index heuristics. The second class of problems concerns two families of Markov decision problems. The spinning plates problem concerns the optimal management of a portfolio of assets whose yields grow with investment but otherwise decline...

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