Impulsive Control for Continuous-Time Markov Decision Processes: A Linear Programming Approach

Dufour, F and Piunovskiy, AB (2016) Impulsive Control for Continuous-Time Markov Decision Processes: A Linear Programming Approach. APPLIED MATHEMATICS AND OPTIMIZATION, 74 (1). pp. 129-161.

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Abstract

In this paper, we investigate an optimization problem for continuous-time Markov decision processes with both impulsive and continuous controls. We consider the so-called constrained problem where the objective of the controller is to minimize a total expected discounted optimality criterion associated with a cost rate function while keeping other performance criteria of the same form, but associated with different cost rate functions, below some given bounds. Our model allows multiple impulses at the same time moment. The main objective of this work is to study the associated linear program defined on a space of measures including the occupation measures of the controlled process and to provide sufficient conditions to ensure the existence of an optimal control.

Item Type:	Article
Uncontrolled Keywords:	Impulsive control, Continuous control, Continuous-time Markov decision process, Linear programming approach, Discounted cost
Depositing User:	Symplectic Admin
Date Deposited:	01 Jul 2016 15:27
Last Modified:	19 Jan 2023 07:35
DOI:	10.1007/s00245-015-9310-8
Related URLs:	Author Publisher
URI:	https://livrepository.liverpool.ac.uk/id/eprint/3001989