| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 7543910 | Operations Research Letters | 2018 | 7 Pages |
Abstract
This paper considers the problem of maximizing the probability of attaining a prescribed count of arrivals generated by a point process, by controlling its intensity. Our analysis shows the existence of optimal intensity switching times that are affine in the arrival count, thereby contributing to the literature on the optimality of affine policies. The optimal intensity control law is established, along with closed-form expressions for its numerical parameters. Several properties of the value function are listed as well.
Related Topics
Physical Sciences and Engineering
Mathematics
Discrete Mathematics and Combinatorics
Authors
Boris Defourny,