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Application of Jensen's inequality to adaptive suboptimal design (1980)

White, C. C. ; Harrington, D. P.

Springer

Journal of optimization theory and applications 32 (1980), S. 89-99

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ISSN: 1573-2878

Keywords: Partially observed Markov decision problems ; information quality ; adaptivity ; Jensen's inequality ; Radon-Nikodym derivative

Source: Springer Online Journal Archives 1860-2000

Topics: Mathematics

Notes: Abstract In this paper, it is shown that, if the expected cost-to-go functions generated by a suboptimal design for a partially observed, discrete-time, Markov decision problem with a specific state measurement quality are concave, then the suboptimal design has a desirable adaptivity characteristic relative to that state measurement quality. Optimal strategies are shown to possess this adaptivity characteristic, as does a suboptimal design presented in an example.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1007/BF00934845

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