Analyse et étude des processus markoviens décisionnels

Christophe Nivot 1
1 CQFD - Quality control and dynamic reliability
IMB - Institut de Mathématiques de Bordeaux, Inria Bordeaux - Sud-Ouest
Abstract : We investigate the potential of the Markov decision processes theory through two applications. The first part of this work is dedicated to the numerical study of an industriallauncher integration process in co-operation with Airbus DS. It is a particular case of inventory control problems where a launch calendar has a key role. The model we propose implies that standard optimization techniques cannot be used. We then investigate two simulation-based algorithms. They return non trivial optimal policies which can be applied in actual practice. The second part of this work deals with the study of partially observable optimal stopping problems. We propose an approximation method using optimal quantization for problems with general state space. We study the convergence of the approximated optimal value towards the real optimal value. The convergence rate is also under study. We apply our method to a numerical example.
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Christophe Nivot. Analyse et étude des processus markoviens décisionnels. Analyse numérique [math.NA]. Université de Bordeaux, 2016. Français. ⟨NNT : 2016BORD0057⟩. ⟨tel-01340365⟩

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