NOTE ON DISCOUNTED CONTINUOUS-TIME MARKOV DECISION PROCESSES WITH A LOWER BOUNDING FUNCTION

Guo, Xin ORCID: 0000-0002-6523-0339, Piunovskiy, Alexey ORCID: 0000-0002-9683-4856 and Zhang, Yi ORCID: 0000-0002-3200-6306 (2017) NOTE ON DISCOUNTED CONTINUOUS-TIME MARKOV DECISION PROCESSES WITH A LOWER BOUNDING FUNCTION. JOURNAL OF APPLIED PROBABILITY, 54 (4). pp. 1071-1088. ISSN 0021-9002, 1475-6072

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Abstract

<jats:title>Abstract</jats:title><jats:p>We consider the discounted continuous-time Markov decision process (CTMDP), where the negative part of each cost rate is bounded by a drift function, say<jats:italic>w</jats:italic>, whereas the positive part is allowed to be arbitrarily unbounded. Our focus is on the existence of a stationary optimal policy for the discounted CTMDP problems out of the more general class. Both constrained and unconstrained problems are considered. Our investigations are based on the continuous-time version of the Veinott transformation. This technique has not been widely employed in the previous literature on CTMDPs, but it clarifies the roles of the imposed conditions in a rather transparent way.</jats:p>

Item Type:	Article
Uncontrolled Keywords:	Continuous-time Markov decision process, discounted criterion
Depositing User:	Symplectic Admin
Date Deposited:	18 Jan 2018 07:46
Last Modified:	07 Dec 2024 18:46
DOI:	10.1017/jpr.2017.53
Related URLs:	Author Publisher
URI:	https://livrepository.liverpool.ac.uk/id/eprint/3016312