Continuous-time Markov decision processes with \(n\)th-bias optimality criteria

DOI10.1016/j.automatica.2009.03.009zbMath1184.49030OpenAlexW1513275709MaRDI QIDQ963964

Xi-Ren Cao, Junyu Zhang

Publication date: 14 April 2010

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2009.03.009

zbMATH Keywords

sensitivity analysisMarkov decision processesperformance analysiscontinuous-time systems\(n\)th-bias optimality criteriamultichain modelpolicy iteration algorithms

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Markov and semi-Markov decision processes (90C40) Continuous-time Markov processes on discrete state spaces (60J27) Optimality conditions for problems involving randomness (49K45)

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