Markov decision processes on Borel spaces with total cost and random horizon

DOI10.1007/S10957-012-0262-8zbMath1317.90316OpenAlexW1993581478MaRDI QIDQ467433

Raúl Montes-De-oca, Rocio Ilhuicatzi-Roldán, Hugo Cruz-Suárez

Publication date: 3 November 2014

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-012-0262-8

zbMATH Keywords

Markov decision processdynamic programming equationtotal costvarying-time discount factor

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Markov and semi-Markov decision processes (90C40)

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Cites Work

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• Stochastic optimal control. The discrete time case
• Nonstationary discrete-time deterministic and stochastic control systems with infinite horizon
• MARKOV DECISION PROCESSES WITH RANDOM HORIZON
• The linear-quadratic stochastic optimal control problem with random horizon at the finite number of infinitesimal events

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