Monotonicity in Markov Reward and Decision Chains: Theory and Applications

Authors:
Ger Koole
Affiliations:
-
Venue:
Foundations and Trends® in Stochastic Systems
Year:
2007

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Abstract

This paper focuses on monotonicity results for dynamic systems that take values in the natural numbers or in more-dimensional lattices. The results are mostly formulated in terms of controlled queueing systems, but there are also applications to maintenance systems, revenue management, and so forth. We concentrate on results that are obtained by inductively proving properties of the dynamic programming value function. We give a framework for using this method that unifies results obtained for different models. We also give a comprehensive overview of the results that can be obtained through it, in which we discuss not only (partial) characterizations of optimal policies but also applications of monotonicity to optimization problems and the comparison of systems.