Constrained continuous-time Markov decision processes on the finite horizon
From MaRDI portal
Publication:2400495
DOI10.1007/s00245-016-9352-6zbMath1370.90285MaRDI QIDQ2400495
Yi Zhang, Xianping Guo, Yong-hui Huang
Publication date: 1 September 2017
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-016-9352-6
occupation measure; finite horizon; continuous-time Markov decision process; constrained-optimality; mixture of \(N+1\) deterministic Markov policies
90C40: Markov and semi-Markov decision processes
60J27: Continuous-time Markov processes on discrete state spaces
Related Items
Realizable Strategies in Continuous-Time Markov Decision Processes, Multiconstrained Finite-Horizon Piecewise Deterministic Markov Decision Processes with Unbounded Transition Rates, Extreme Occupation Measures in Markov Decision Processes with an Absorbing State, Zero-sum continuous-time Markov pure jump game over a fixed duration
Cites Work
- Markov decision processes with applications to finance.
- Discounted continuous-time constrained Markov decision processes in Polish spaces
- Towards the optimal control of Markov chains with constraints
- Continuous-time Markov decision processes. Theory and applications
- Controlled jump processes
- On solutions of Kolmogorov's equations for nonhomogeneous jump Markov processes
- Constrained continuous-time Markov decision processes with average criteria
- Finite-horizon optimality for continuous-time Markov decision processes with unbounded transition rates
- Absorbing Continuous-Time Markov Decision Processes with Total Cost Criteria
- Splitting Randomized Stationary Policies in Total-Reward Markov Decision Processes
- Linear Programming and Constrained Average Optimality for General Continuous-Time Markov Decision Processes in History-Dependent Policies
- Selected Topics on Continuous-Time Controlled Markov Chains and Markov Games
- Discounted Continuous-Time Markov Decision Processes with Unbounded Rates: The Convex Analytic Approach
- Discounted Continuous-Time Markov Decision Processes with Constraints: Unbounded Transition and Loss Rates
- Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales
- Controlled Markov Models with Countable State Space and Continuous Time
- Continuous-Time Controlled Jump Markov Processes on the Finite Horizon
- Constrained Continuous-Time Markov Control Processes with Discounted Criteria
- Infinite horizon optimal impulsive control with applications to Internet congestion control
- Finite State Continuous Time Markov Decision Processes with a Finite Planning Horizon
- Continuous Time Discounted Jump Markov Decision Processes: A Discrete-Event Approach
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item