Impulsive control for continuous-time Markov decision processes: a linear programming approach

DOI10.1007/s00245-015-9310-8zbMath1347.49031OpenAlexW1170120830MaRDI QIDQ315772

François Dufour, Aleksey B. Piunovskiy

Publication date: 23 September 2016

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-015-9310-8

zbMATH Keywords

optimizationlinear programmingimpulsive controlcontinuous-time Markov decision processdiscounted cost

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Linear programming (90C05) Optimal stochastic control (93E20) Markov and semi-Markov decision processes (90C40) Optimality conditions for problems involving randomness (49K45) Impulsive optimal control problems (49N25) Existence of optimal solutions to problems involving randomness (49J55)

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Simultaneous impulse and continuous control of a Markov chain in continuous time, On the computation of Whittle's index for Markovian restless bandits, Gradual-Impulsive Control for Continuous-Time Markov Decision Processes with Total Undiscounted Costs and Constraints: Linear Programming Approach via a Reduction Method, Asymptotics of impulse control problem with multiplicative reward, Stability analysis of time-delay discrete systems with logic impulses, Long-Run Risk-Sensitive Impulse Control, Design and analysis of two discrete-time ZD algorithms for time-varying nonlinear minimization, On Reducing a Constrained Gradual-Impulsive Control Problem for a Jump Markov Model to a Model with Gradual Control Only

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