Constrained Continuous-Time Markov Decision Processes on the Finite Horizon

Guo, Xianping, Huang, Yonghui and Zhang, Yi ORCID: 0000-0002-3200-6306 (2017) Constrained Continuous-Time Markov Decision Processes on the Finite Horizon. APPLIED MATHEMATICS AND OPTIMIZATION, 75 (2). pp. 317-341. ISSN 0095-4616, 1432-0606

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Abstract

This paper studies the constrained (nonhomogeneous) continuous-time Markov decision processes on the finite horizon. The performance criterion to be optimized is the expected total reward on the finite horizon, while N constraints are imposed on similar expected costs. Introducing the appropriate notion of the occupation measures for the concerned optimal control problem, we establish the following under some suitable conditions: (a) the class of Markov policies is sufficient; (b) every extreme point of the space of performance vectors is generated by a deterministic Markov policy; and (c) there exists an optimal Markov policy, which is a mixture of no more than N+ 1 deterministic Markov policies.

Item Type:	Article
Uncontrolled Keywords:	Continuous-time Markov decision process, Constrained-optimality, Finite horizon, Mixture of N+1 deterministic Markov policies, Occupation measure
Depositing User:	Symplectic Admin
Date Deposited:	04 Jul 2016 10:58
Last Modified:	07 Dec 2024 15:47
DOI:	10.1007/s00245-016-9352-6
Related URLs:	Author Publisher
URI:	https://livrepository.liverpool.ac.uk/id/eprint/3001778