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Équation de programmation dynamique stochastique

  1. Sep 7, 2009 #1
    équation de programmation dynamique stochastique

    1. The problem statement, all variables and given/known data

    Bonjour,

    je veux un programme qui calcule W[x1,x2] avec maple ou matlab:
    N:=4;alpha:=0.8;lambda1:=8;lambda2:=5;mu1:=25;mu2:=30;xi1:=1*;xi2:=2;c1:=3;c2:=5;
    x1 et x2 varient de 0 à N
    la fonction W(.,.) vérifie les propriétés suivantes :
    W(.,.) croissante en x1 ; W(.,.) croissante en x2
    W(x1+1,x2)- W(x1,x2) croissante en x1 ; W(x1,x2+1)- W(x1,x2) croissante en x2

    2. Relevant equations
    W[x1,x2]=x1*c1+x2*c2+alpha*(mu1*W[x1-1,x2]+lambda1*min(W[x1+*1,x2],W[x1,x2]+xi1)+lambda2*min(W[x1,x2+1],W[x1,x2]+xi2))


    3. The attempt at a solution
     
  2. jcsd
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