formulate the optimality equations, Operation Research

Assignment Help:

Each day you own 0 or 1 stocks of certain commodity. The price of the stock is a stochastic process that can be modeled as a Markov chain with transition rates as follows

 

 

day n+1

 

 

 

100

200

day n

100

0.5

0.5

 

200

0.25

0.75

At the start of a day at which you own a stock you may choose to either sell at the current price, or keep the stock. At the start of a day at which you do not own stock, you may choose to either buy one stock at the current price or do nothing. You have initial capital of 200.

Your target is to maximize the discounted value of the profit over an infinite horizon, use discountfactor 0.8 (per day).

a) Define the states and give for each state the possible decisions.

b) Formulate the optimality equations.

c) Carry out two iterations of value iteration.

d) Formulate the L.P.-model to solve this problem. Describe how you can obtain the optimal policy from the LP formulation.

e) Choose a stationary policy and investigate using the policy iteration algorithm whether or not that policy is optimal.

f) Give the number of stationary policies. Motivate your answer by using the definition of stationary policy.


Related Discussions:- formulate the optimality equations

Network models, These models are applied to the management ( planning con...

These models are applied to the management ( planning controlling and scheduling ) of large scale projects. PERT/ CPM techniques help in identifying potential trouble spots in

Regression line - correlation regression analysis, Regression Line The...

Regression Line The line  of regression  is the  line  which give the best  estimate  to the  values  of one  variable  for any  specific  values  of other  variable. For t

Unit 8, undertake the proposed research investigation in accordance with th...

undertake the proposed research investigation in accordance with the agreed specification and procedures

Considerations for oral reporting, Considerations for Oral Reporting S...

Considerations for Oral Reporting Sometimes  the researcher has been asked to  make an oral presentation of his  research findings he should  bear in mind a few major  conside

Research paper, Research Paper Overview Research Topic: •    Research ...

Research Paper Overview Research Topic: •    Research the effects of federal mandates in your state.  Examples include the Americans with Disabilities Act, the No Child Left B

Operation research, different classification of models in operation researc...

different classification of models in operation research

Calculate the yearly cost of waiting time, The Omega company, Brisbane, pro...

The Omega company, Brisbane, produces potato chips, corn, cheese twists, and popcorn. These products are made in Brisbane and then shipped to company warehouses and distribution ce

Purchasing, need of detailed information about the topic

need of detailed information about the topic

compute probabilities-transitions and transition rate, Consider a queueing...

Consider a queueing system with 1 counter, to which groups of customers arrive according to a Poisson proces with intensity l. The size of a group is 1 with probability p and 2 wit

Demerits of range - measure of dispersion , Demerits  of Range a.It g...

Demerits  of Range a.It gives  importance  to the  two  extreme  values and is very much affected by the extreme items. b.The range  provides  no information  about the  st

Write Your Message!

Captcha
Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd