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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
0.5
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.
This methods studies development from simpler forms through a long series of a small change. Each change by itself results in minor modification in the phenomenon but the
difference between simplex solution procedure for maximisation and minimisation
INFORMATION AND OTHER RELATED CONCEPTS - THEIR MEANING AND CHARACTERISTICS: You may often hear or read in newspapers and other popular magazines about "exponential growth of i
Scope of the OR techniques can be derived in followings various importance fields: 1. In Agriculture : With the explosion of population and consequent shortage of food O
In your own words, describe the special cases of integer programming and binary programming: what makes these problems different? Give an example of each, pointing out why they mus
MEAN DEVIATION Mean deviation of a series is the arithmetic average of the deviations of various items from the median or mean of that series. Median is preferred
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
#Principles of OR
Solve by Steps for Two-Phase Method Max Z = 5x 1 + 8x 2 Subject to 3x 1 + 2x 2 ≥ 3 x 1 + 4x 2 ≥ 4 x 1 + x 2 ≤ 5 & x 1 ≥ 0, x 2 ≥ 0 Answe
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