Value of Flexibility in a Finite Horizon Decision Process

Leonardo Santiago, Pirooz Vakili

Publikation: Bidrag til bog/antologi/rapportKonferencebidrag i proceedingsForskningpeer review

Abstrakt

Motivated by a model of decision processes of R&D projects, we consider a finite horizon Markov decision process. In this context the difference between the value under active control (when the process is optimally controlled) and under passive control (when the control at each stage is a default control) is called the value of flexibility. We analyze the impact of increased variability of the terminal payoff on the value of flexibility and the optimal value of the project and show that the impact of increased variability on the passive project can be used to determine the impact of increased variability on the optimally controlled project.
OriginalsprogEngelsk
TitelProceedings of the 43rd IEEE Conference on Decision and Control (CDC 2004). Volume II
Antal sider6
UdgivelsesstedLos Alamitos, CA
ForlagIEEE
Publikationsdato2004
Sider1319-1324
ISBN (Trykt)0780386825
DOI
StatusUdgivet - 2004
Udgivet eksterntJa
Begivenhed43rd IEEE Conference on Decision and Control. CDC 2004 - Atlantis, Paradise Island, Bahamas
Varighed: 14 dec. 200417 dec. 2004
Konferencens nummer: 43

Konference

Konference43rd IEEE Conference on Decision and Control. CDC 2004
Nummer43
LokationAtlantis
Land/OmrådeBahamas
ByParadise Island
Periode14/12/200417/12/2004

Citationsformater