Convergence of controlled models and finite-state approximation for discounted continuous-time Markov decision processes with constraints

DOI10.1016/j.ejor.2014.03.037zbMath1338.90446OpenAlexW1978031024MaRDI QIDQ296787

Xianping Guo, Wen-Zhao Zhang

Publication date: 23 June 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2014.03.037

zbMATH Keywords

convergenceconstrained continuous-time Markov decision processesfinite approximationunbounded transition rate

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Markov and semi-Markov decision processes (90C40)

Related Items (14)

Optimal control of a multiclass queueing system when customers can change types ⋮ Computable approximations for continuous-time Markov decision processes on Borel spaces based on empirical measures ⋮ Approximation of zero-sum continuous-time Markov games under the discounted payoff criterion ⋮ Risk-sensitive average continuous-time Markov decision processes with unbounded rates ⋮ Continuous-time Markov decision processes with risk-sensitive finite-horizon cost criterion ⋮ Finite approximation of the first passage models for discrete-time Markov decision processes with varying discount factors ⋮ Finite approximation for finite-horizon continuous-time Markov decision processes ⋮ Continuous-time constrained stochastic games under the discounted cost criteria ⋮ Computable approximations for average Markov decision processes in continuous time ⋮ Approximation of two-person zero-sum continuous-time Markov games with average payoff criterion ⋮ Convergence of Markov decision processes with constraints and state-action dependent discount factors ⋮ Mean-semivariance optimality for continuous-time Markov decision processes ⋮ Approximations of Countably Infinite Linear Programs over Bounded Measure Spaces ⋮ First passage Markov decision processes with constraints and varying discount factors

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