Guo, Xin ORCID: 0000-0002-6523-0339, Piunovskiy, Alexey 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.
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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 |
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Uncontrolled Keywords: | Continuous-time Markov decision process, discounted criterion |
Depositing User: | Symplectic Admin |
Date Deposited: | 18 Jan 2018 07:46 |
Last Modified: | 19 Jan 2023 06:43 |
DOI: | 10.1017/jpr.2017.53 |
Related URLs: | |
URI: | https://livrepository.liverpool.ac.uk/id/eprint/3016312 |