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June 2013 Absorbing continuous-time Markov decision processes with total cost criteria
Xianping Guo, Mantas Vykertas, Yi Zhang
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Adv. in Appl. Probab. 45(2): 490-519 (June 2013). DOI: 10.1239/aap/1370870127

Abstract

In this paper we study absorbing continuous-time Markov decision processes in Polish state spaces with unbounded transition and cost rates, and history-dependent policies. The performance measure is the expected total undiscounted costs. For the unconstrained problem, we show the existence of a deterministic stationary optimal policy, whereas, for the constrained problems with N constraints, we show the existence of a mixed stationary optimal policy, where the mixture is over no more than N+1 deterministic stationary policies. Furthermore, the strong duality result is obtained for the associated linear programs.

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Xianping Guo. Mantas Vykertas. Yi Zhang. "Absorbing continuous-time Markov decision processes with total cost criteria." Adv. in Appl. Probab. 45 (2) 490 - 519, June 2013. https://doi.org/10.1239/aap/1370870127

Information

Published: June 2013
First available in Project Euclid: 10 June 2013

zbMATH: 1282.90229
MathSciNet: MR3102460
Digital Object Identifier: 10.1239/aap/1370870127

Subjects:
Primary: 90C40
Secondary: 60J25, 60J75

Rights: Copyright © 2013 Applied Probability Trust

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Vol.45 • No. 2 • June 2013
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