Optimal System Allocations with Penalty Costs
Abstract
There are N stages to sequentially construct I successful components. At each stage, one allocates a certain amount of money for the construction of a component. If y is the amount allocated, then the component constructed will be a success with probability P(y), where P is a continuous nondecreasing function satisfying P(0) = 0. After each component is constructed, one is informed as to whether or not it is successful. If, at the end of the N stages, there are i components short, then a final penalty cost C(i) is incurred. The problem is to, at each stage, determine how much money to allocate so as to minimize the total expected cost (construction cost plus penalty cost) incurred.
Document Details
- Document Type
- Technical Report
- Publication Date
- Sep 01, 1975
- Accession Number
- ADA017238
Entities
People
- Cyrus Derman
- Gerald J. Lieberman
- Sheldon M. Ross
Organizations
- University of California, Berkeley