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Policy Improvement and the Newton–Raphson Algorithm for Renewal Reward Processes

Published online by Cambridge University Press:  27 July 2009

J. M. McNamara
J. M. McNamara
Affiliation:
School of MathematicsUniversity of Bristol University Walk Bristol, BS8 1 TW
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Abstract

We consider a renewal reward process in continuous time. The supremum average reward, γ* for this process can be characterised as the unique root of a certain function. We show how one can apply the Newton–Raphson algorithm to obtain successive approximations to γ*, and show that the successive approximations so obtained are the same as those obtained by using the policy improvement technique.

Information

Type
Articles
Information
Probability in the Engineering and Informational Sciences , Volume 3 , Issue 3 , July 1989 , pp. 393 - 396
Copyright
Copyright © Cambridge University Press 1989

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References

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