✦ LIBER ✦

A note on optimal switching between two activities

✍ Scribed by Steven E. Shreve

Publisher: John Wiley and Sons
Year: 1981
Tongue: English
Weight: 280 KB
Volume: 28
Category: Article
ISSN: 0894-069X
DOI: 10.1002/nav.3800280116

No coin nor oath required. For personal study only.

✦ Synopsis

Let f l and .fz map [O,Tl into the real numbers. A system is following either f l or .f2 and earning the associated reward I.fl or Sf?. respectively. It is possible at any time to switch from .fi to ./) by paying a switching cost b > 0.

We determine a switching policy which maximizes the total reward. Conditions which guarantee a planning horizon are established.

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