A useful technique for piecewise deterministic Markov decision processes

Zhang, Yi ORCID: 0000-0002-3200-6306 and Guo, Xin (2021) A useful technique for piecewise deterministic Markov decision processes. Operations Research Letters, 49 (1). pp. 55-61.

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Official URL: http://dx.doi.org/10.1016/j.orl.2020.11.002

Abstract

This note presents a technique that is useful for the study of piecewise deterministic Markov decision processes (PDMDPs) with general policies and unbounded transition intensities. This technique produces an auxiliary PDMDP from the original one. The auxiliary PDMDP possesses certain desired properties, which may not be possessed by the original PDMDP. We apply this technique to risk-sensitive PDMDPs with total cost criteria, and comment on its connection with the uniformization technique.

Item Type:	Article
Uncontrolled Keywords:	Continuous-time Markov decision processes, Piecewise deterministic Markov decision processes, Unbounded transition intensities
Depositing User:	Symplectic Admin
Date Deposited:	06 Nov 2020 08:15
Last Modified:	18 Jan 2023 23:23
DOI:	10.1016/j.orl.2020.11.002
Related URLs:	Author Publisher
URI:	https://livrepository.liverpool.ac.uk/id/eprint/3106130