On reducing a constrained gradual-impulsive control problem for a jump Markov model to a model with gradual control only

Piunovskiy, Alexey ORCID: 0000-0002-9683-4856 and Zhang, Y ORCID: 0000-0002-3200-6306 (2020) On reducing a constrained gradual-impulsive control problem for a jump Markov model to a model with gradual control only. SIAM Journal on Control and Optimization, 58 (1). pp. 192-214. ISSN 0036-1402, 1095-7138

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Official URL: https://doi.org/10.1137/19m1248303

Abstract

In this paper we consider a gradual-impulsive control problem for continuous-time Markov decision processes (CTMDPs) with total cost criteria and constraints. We develop a simple and useful method, which reduces the concerned problem to a standard CTMDP problem with gradual control only. This allows us to derive straightforwardly and under a minimal set of conditions the optimality results (sufficient classes of control policies, as well as the existence of stationary optimal policies) for the original constrained gradual-impulsive control problem.

Item Type:	Article
Uncontrolled Keywords:	continuous-time Markov decision processes, impulse-gradual control, reduction method, problem with constraints
Depositing User:	Symplectic Admin
Date Deposited:	22 Oct 2019 14:26
Last Modified:	07 Dec 2024 00:07
DOI:	10.1137/19M1248303
Related URLs:	Author Publisher
URI:	https://livrepository.liverpool.ac.uk/id/eprint/3058994