| 一类连续时间Markov链的灵敏度分析和性能优化 |
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| 引用本文： | 李衍杰,殷保群,奚宏生,代桂平.一类连续时间Markov链的灵敏度分析和性能优化[J].中国科学技术大学学报,2004,34(6):704-709. |
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| 作者姓名： | 李衍杰 殷保群 奚宏生 代桂平 |
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| 作者单位： | 中国科学技术大学自动化系,合肥,230027 |
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| 基金项目： | 国家自然科学基金(60274012)，安徽省自然科学基金(01042308)资助项目. |
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| 摘 要： | 从连续时间Markov链(CTMC)性能势的角度,借助于定义的折扣Poisson方程,给出了CTMC基于性能势的灵敏度公式及折扣代价准则(简称折扣准则)下的最优性方程.此外,建立了在折扣准则与无穷时间平均代价准则(简称平均准则)下灵敏度公式及最优性方程之间的联系.
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| 关 键 词： | 连续时间Markov链 灵敏度分析 最优性方程 性能势 Poisson方程 |
| 文章编号： | 0253-2778(2004)06-0704-06 |
| 修稿时间： | 2003年7月7日 |
Sensitivity Analysis and Performance Optimization of a Class of Continuous Time Markov Chains |
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| LI Yan-jie,YIN Bao-qun,XI Hong-sheng,DAI Gui-ping.Sensitivity Analysis and Performance Optimization of a Class of Continuous Time Markov Chains[J].Journal of University of Science and Technology of China,2004,34(6):704-709. |
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| Authors: | LI Yan-jie YIN Bao-qun XI Hong-sheng DAI Gui-ping |
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| Abstract: | Based on the potentials of continuous time Markov chains(CTMC) ,the sensitivity formulas and optimality equation of the chains,with can be used to design the online optimization algorithms,are presented under the discounted cost criteria by using the discounted Poisson equation.Moreover,the relationship of sensitivity formulas ,as well as that of the optimality equations,under the discounted cost criteria and the average cost criteria and the average cost criteria is established by using the vanishing discounted factor. |
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| Keywords: | continuous time Markov chains(CTMC) sensitivity analysis optimality equation performance potentials Poisson equation |
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