Analyse de sensibilité dans une classe de processus de décision markoviens

Samuel Vercraene (1) , Jean-Philippe Gayon (1) , Fikri Karaesmen (2)

1 G-SCOP_GCSP - Gestion et Conduite des Systèmes de Production
2 Department of Industrial Engineering

We focus on the class of queuing system control problem involving a cost minimization or a reward maximization. It is well established that in many of these problems the optimal policy is a state dependent threshold policy. When several system parameters values are changed, we show that it is sometimes possible to predict the evolution of optimal policy. Our approach is based on the propagation of certain properties of the MDP formalization value function. We illustrate this study on two instances, a tandem queue in production/inventory context and a admission control problem.

Mots clés: contrôle optimal; Processus de décision markovien; analyse de sensibilité; contrôle optimal.

Domaines: Recherche opérationnelle [math.OC]

Samuel Vercraene, Jean-Philippe Gayon, Fikri Karaesmen. Analyse de sensibilité dans une classe de processus de décision markoviens. ROADEF 2013, Feb 2013, Troyes, France. ⟨hal-00789175⟩