Constrained continuous-time Markov decision processes with average criteria (Q2483010): Difference between revisions

Constrained continuous-time Markov decision processes with a denumerable state space and unbounded reward/cost and transition rates are studied. The criterion to be maximized is the expected average reward, and a constraint is imposed on an expected average cost. The authors give suitable conditions that ensure the existence of a constrained-optimal policy. Moreover, they show that the constrained-optimal policy randomizes between two stationary policies differing in at most one state. A controlled queueing system is used to illustrate the obtained conditions.