Bias Optimality for Continuous-Time Controlled Markov Chains

DOI10.1137/S036301290343432MaRDI QIDQ3427467zbMATH OpenOpenAlexFDO

Authors Tomás Prieto-Rumeau, Onésimo Hernández-Lerma

Publication date 20 March 2007

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

Full work available at URL https://doi.org/10.1137/s036301290343432

zbMATH Keywords

average reward criterionbias optimalitycontinuous-time controlled Markov chainexponential ergodicityPoisson equation

Mathematics Subject Classification ID

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

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Cited in

(19)

• Characterizations of overtaking optimality for controlled diffusion processes
• Bias optimality for multichain continuous-time Markov decision processes
• Variance minimization and the overtaking optimality approach to continuous-time controlled Markov chains
• Average sample-path optimality for continuous-time Markov decision processes in Polish spaces
• Blackwell optimality in the class of Markov policies for continuous-time controlled Markov chains
• New discount and average optimality conditions for continuous-time Markov decision processes
• On some ergodic impulse control problems with constraint
• Uniform ergodicity of continuous-time controlled Markov chains: a survey and new results
• Bias and Overtaking Optimality for Continuous-Time Jump Markov Decision Processes in Polish Spaces
• Ergodic Control, Bias, and Sensitive Discount Optimality for Markov Diffusion Processes
• A probabilistic analysis of bias optimality in unichain Markov decision processes
• Blackwell Optimality for Controlled Diffusion Processes
• Total reward criteria for unconstrained/constrained continuous-time Markov decision processes
• Mean-variance optimization of continuous time Markov decision processes
• The vanishing discount approach to constrained continuous-time controlled Markov chains
• Variance minimization for continuous-time Markov decision processes: two approaches
• Strong n-discount and finite-horizon optimality for continuous-time Markov decision processes
• Continuous-time Markov decision processes with nth-bias optimality criteria
• A survey of recent results on continuous-time Markov decision processes (with comments and rejoinder)

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