We consider the problem of optimally designing a system for repeated use under uncertainty. We develop a modeling framework that integrates the design and operational phases, which are represented by a mixed-integer program and discounted-cost infinite-horizon Markov decision processes, respectively. We seek to simultaneously minimize the design costs and the subsequent expected operational costs. This problem setting arises naturally in several application areas, as we illustrate through examples. We derive a bilevel mixed-integer linear programming formulation for the problem and perform a computational study to demonstrate that realistic instances can be solved numerically.

中文翻译：

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马尔可夫决策过程设计：整合战略和运营决策的框架

我们考虑优化设计一个在不确定性下重复使用的系统的问题。我们开发了一个集成了设计和操作阶段的建模框架，分别由混合整数程序和贴现成本无限视野马尔可夫决策过程表示。我们寻求同时最小化设计成本和随后的预期运营成本。正如我们通过示例所说明的，这种问题设置在多个应用领域中自然出现。我们推导出该问题的双层混合整数线性规划公式，并进行计算研究以证明可以用数值方法解决实际实例。