Probability in the Engineering and Informational Sciences

Table of Contents - 1989 - Volume 3, Issue 03  

Articles

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

J. M. McNamaraa1

a1 School of Mathematics University of Bristol University Walk Bristol, BS8 1 TW

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.