| 来源类型 | Monograph (IIASA Working Paper) |
| 规范类型 | 论文 |
| The Expected Value of Perfect Information in the Optimal Evolution of Stochastic Systems. | |
| Dempster MAH | |
| 发表日期 | 1981 |
| 出版者 | IIASA, Laxenburg, Austria: WP-81-055 |
| 出版年 | 1981 |
| 语种 | 英语 |
| 摘要 | This paper uses abstract optimization theory to characterize and analyze the stochastic process describing the current marginal expected value of perfect information in a class of discrete time dynamic stochastic optimization problems which include the familiar optimal control problem with an infinite planning horizon. Using abstract Lagrange multiplier techniques on the usual nonanticipativity constraints treated explicitly in terms of adaptation of the decision sequence, it is shown that the marginal expected value of perfect information is a nonanticipative supermartingale. For a given problem, the statistics of this process are of fundamental practical importance in deciding the necessity for continuing to take account of the stochastic variation in the evolution of the sequence of optimal decisions. |
| 主题 | System and Decision Sciences - Core (SDS) |
| URL | http://pure.iiasa.ac.at/id/eprint/1706/ |
| 来源智库 | International Institute for Applied Systems Analysis (Austria) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/122312 |
| 推荐引用方式 GB/T 7714 | Dempster MAH. The Expected Value of Perfect Information in the Optimal Evolution of Stochastic Systems.. 1981. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| WP-81-055.pdf（560KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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