2019/07/13 by Yunhan Huang, Huang, Yunhan, Veeraruna Kavitha +3
Business, Management and Accounting · Computer Science · #Advanced Queuing Theory Analysis #FOS: Electrical engineering #FOS: Mathematics #Optimization and Control (math.OC) #Optimization and Search Problems #Supply Chain and Inventory Management #Systems and Control (eess.SY) #electronic engineering #information engineering
paper · pdf · doi:10.48550/arxiv.1907.06128
openalex publication_date 2019/07/13 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
In this paper, we study a continuous-time discounted jump Markov decision process with both controlled actions and observations. The observation is only available for a discrete set of time instances. At each time of observation, one has to select an optimal timing for the next observation and a control trajectory for the time interval between two observation points. We provide a theoretical framework that the decision maker can utilize to find the optimal observation epochs and the optimal actions jointly. Two cases are investigated. One is gated queueing systems in which we explicitly characterize the optimal action and the optimal observation where the optimal observation is shown to be independent of the state. Another is the inventory control problem with Poisson arrival process in which we obtain numerically the optimal action and observation. The results show that it is optimal to observe more frequently at a region of states where the optimal action adapts constantly.