Computable approximations for continuous-time Markov decision processes on Borel spaces based on empirical measures

DOI10.1016/J.JMAA.2016.05.055zbMath1338.93397OpenAlexW2414220426MaRDI QIDQ302091

Tomás Prieto-Rumeau, Jonatha Anselmi, François Dufour

Publication date: 4 July 2016

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2016.05.055

zbMATH Keywords

\(\epsilon\)-optimal policyapproximation of the optimal value functioncontinuous-time Markov decision processespiecewise Lipschitz continuous control models

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Optimal stochastic control (93E20) Markov and semi-Markov decision processes (90C40)

Related Items (4)

Convergence of Finite Element Methods for Singular Stochastic Control ⋮ Continuous-time constrained stochastic games with average criteria ⋮ Approximation of discounted minimax Markov control problems and zero-sum Markov games using Hausdorff and Wasserstein distances ⋮ Computable approximations for average Markov decision processes in continuous time

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