Optimal Control of Ergodic Continuous-Time Markov Chains with Average Sample-Path Rewards

DOI10.1137/S0363012903420875zbMath1116.90108OpenAlexW1975162409MaRDI QIDQ5317120

Xianping Guo, Cao, Xiren

Publication date: 15 September 2005

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0363012903420875

zbMATH Keywords

continuous-time Markov chainoptimal stationary policypolicy and value iteration algorithmsaverage sample-path reward

Mathematics Subject Classification ID

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

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Average sample-path optimality for continuous-time Markov decision processes in Polish spaces ⋮ Total reward criteria for unconstrained/constrained continuous-time Markov decision processes ⋮ Policy iteration for continuous-time average reward Markov decision processes in Polish spaces ⋮ Continuous-time Markov decision processes with \(n\)th-bias optimality criteria ⋮ Constrained continuous-time Markov decision processes with average criteria ⋮ Optimal risk probability for first passage models in semi-Markov decision processes ⋮ A survey of recent results on continuous-time Markov decision processes (with comments and rejoinder) ⋮ Average optimality for continuous-time Markov decision processes in Polish spaces

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