On Optimal Allocation of a Continuous Resource Using an Iterative Approach and Total Positivity

TL;DR

This paper investigates optimal resource allocation strategies in probabilistic combat scenarios, proving monotonicity properties of optimal policies using total positivity techniques for continuous ammunition and time models.

Contribution

It establishes new monotonicity results for the Bomber and Fighter Problems using total positivity, extending previous discrete and partial results.

Findings

Proves that optimal survival probability decreases with time.

Shows that the optimal ammunition spent increases with available ammunition.

Demonstrates total positivity of the optimal value functions.

Abstract

We study a class of optimal allocation problems, including the well-known Bomber Problem, with the following common probabilistic structure. An aircraft equipped with an amount~$x$ of ammunition is intercepted by enemy airplanes arriving according to a homogenous Poisson process over a fixed time duration~$t$. Upon encountering an enemy, the aircraft has the choice of spending any amount~$0\le y\le x$ of its ammunition, resulting in the aircraft's survival with probability equal to some known increasing function of $y$. Two different goals have been considered in the literature concerning the optimal amount~$K(x,t)$ of ammunition spent: (i)~Maximizing the probability of surviving for time~$t$, which is the so-called Bomber Problem, and (ii) maximizing the number of enemy airplanes shot down during time~$t$, which we call the Fighter Problem. Several authors have attempted to settle the following conjectures about the monotonicity of $K(x,t)$: [A] $K(x,t)$ is decreasing in $t$, [B] $K(x,t)$ is increasing in $x$, and [C] the amount~$x-K(x,t)$ held back is increasing in $x$. [A] and [C] have been shown for the Bomber Problem with discrete ammunition, while [B] is still an open question. In this paper we consider both time and ammunition continuous, and for the Bomber Problem prove [A] and [C], while for the Fighter we prove [A] and [C] for one special case and [B] and [C] for another. These proofs involve showing that the optimal survival probability and optimal number shot down are totally positive of order 2 ($\mbox{TP}_2$) in the Bomber and Fighter Problems, respectively. The $\mbox{TP}_2$ property is shown by constructing convergent sequences of approximating functions through an iterative operation which preserves $\mbox{TP}_2$ and other properties.