Article ID: | iaor20023452 |
Country: | United States |
Volume: | 15 |
Issue: | 1 |
Start Page Number: | 103 |
End Page Number: | 133 |
Publication Date: | Jan 2001 |
Journal: | Probability in the Engineering and Informational Sciences |
Authors: | Sennott L.I. |
A stochastic dynamic program incurs two types of cost: a service cost and a quality of service (delay) cost. The objective is to minimize the expected average service cost, subject to a constraint on the average quality of service cost. When the state space S is finite, we show how to compute an optimal policy for the general constrained problem under weak conditions. The development uses a Lagrange multiplier approach and value iteration. When S is denumerably infinite, we give a method for computation of an optimal policy, using a sequence of approximating finite state problems. The method is illustrated with two computational examples.