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

Line balancing, what will happen when line balance doesn not exist

what will happen when line balance doesn not exist

Steps involved in hypothesis testing of the mean , Statement of Hypothesis...

Statement of Hypothesis The  two hypothesis  i  ,e,  null hypothesis  (H 0 ) and Alternative Hypothesis (H 1 ) are so  constructed  that if  one is  correct the other  is wron

Z-test - hypothesis testing, Z-Test Prof. Fisher has  given a method  of...

Z-Test Prof. Fisher has  given a method  of testing the significance of the correlation coefficient in small  samples. According  to this method the  coefficient of correlation

What do you understand by customs duty, Question 1 What do you understa...

Question 1 What do you understand by customs duty? Explain the taxable events for imported, warehoused and exported goods. List down the types of duties in customs. An importer

OPERATION RESEARCH, A paper mill produces two grades of paper viz., X and Y...

A paper mill produces two grades of paper viz., X and Y. Because of raw material restrictions, it cannot produce more than 400 tons of grade X paper and 300 tons of grade Y paper i

Reference books - report writing presentation , Reference Books If an ...

Reference Books If an article  in a reference  books has more  than one  author use the  same  format  for  authors  given for  books above. a. Authors Known :Authors last

Construction procedure for research tool, CONSTRUCTION PROCEDURE The c...

CONSTRUCTION PROCEDURE The construction of an interview schedule or questionnaire is a time consuming task requiring considerable attention to all the details. The investig

Linear problem, A paper mill produces two grades of paper viz., X and Y. Be...

A paper mill produces two grades of paper viz., X and Y. Because of raw material restrictions, it cannot produce more than 400 tons of grade X paper and 300 tons of grade Y paper i

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