Optimal consumption and exploration: A case study in piecewise-deterministic Markov modelling (Q1808218): Difference between revisions
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scientific article
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English | Optimal consumption and exploration: A case study in piecewise-deterministic Markov modelling |
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Optimal consumption and exploration: A case study in piecewise-deterministic Markov modelling (English)
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2 December 1999
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The optimal decision problem for the consumption and exploration of resources are studied in the framework of Piecewise-Deterministic Markov Process (PDP) optimal control theory [cf. \textit{M. H. A. Davis}, Markov models and optimization, Monographs on Statistics and Applied Probability 49, Chapman-Hall (1993; Zbl 0780.60002), in particular, Chap. 4]. It is assumed that the inter-arrival random times \((\{T_i\})\) of the new resources are exponentially distributed, that the amount of resource found at each \(T_i\) is of a known distribution and that the exploration costs are paid for from the value of current reserves. Under some general but mild assumptions, this problem is transformed into a deterministic control problem, the value function of the PDP optimal control is solved as the unique viscosity solution of the associated Hamilton-Jacobi-Bellman (HJB) equation. Simulation results by an iterative method for solving the value function using the HJB equation are well presented under guaranteed convergence.
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stochastic optimal control
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non-renewable resources
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Hamilton-Jacobi-Bellman equation
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piecewise-deterministic Markov process
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optimal decision
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viscosity solution
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