Multiconstrained Finite-Horizon Piecewise Deterministic Markov Decision Processes with Unbounded Transition Rates

DOI10.1287/MOOR.2019.1005zbMath1468.90140OpenAlexW3007291446MaRDI QIDQ5119850

Xianping Guo, Yong-hui Huang

Publication date: 1 September 2020

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/moor.2019.1005

zbMATH Keywords

finite horizonlinear programconstrained problempiecewise deterministic Markov decision processoccupancy measure

Mathematics Subject Classification ID

Markov and semi-Markov decision processes (90C40) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items (1)

Optimal liquidation problem in illiquid markets

Cites Work

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