Stochastic dynamic programming is a recursive method for solving sequential or multistage decision problems. It helps economists and mathematicians construct and solve a huge variety of sequential decision making problems in stochastic cases. Research on stochastic dynamic programming is important and meaningful because stochastic dynamic programming reflects the behavior of the decision maker without risk aversion; i.e., decision making under uncertainty. In the solution process, it is extremely difficult to represent the existing or future state precisely since uncertainty is a state of having limited knowledge. Indeed, compared to the deterministic case, which is decision making under certainty, the stochastic case is more realistic and gives more accurate results because the majority of problems in reality inevitably have many unknown parameters. In addition, time scale calculus theory is applicable to any field in which a dynamic process can be described with discrete or continuous models. Many stochastic dynamic models are discrete or continuous, so the results of time scale calculus are directly applicable to them as well. The aim of this thesis is to introduce a general form of a stochastic dynamic sequence problem on complex discrete time domains and to find the optimal sequence which maximizes the sequence problem.
| Identifer | oai:union.ndltd.org:WKU/oai:digitalcommons.wku.edu:theses-2239 |
| Date | 01 May 2013 |
| Creators | Cheng, Gang |
| Publisher | TopSCHOLAR® |
| Source Sets | Western Kentucky University Theses |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | Masters Theses & Specialist Projects |
Page generated in 0.0017 seconds