Piunovskiy, Alexey 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.
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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 |
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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: | 19 Jan 2023 00:21 |
DOI: | 10.1137/19M1248303 |
Related URLs: | |
URI: | https://livrepository.liverpool.ac.uk/id/eprint/3058994 |