Constrained Continuous-Time Markov Control Processes with Discounted Criteria
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Constrained continuous-time Markov control processes (MCPs) with a denumerable state space and possibly unbounded transition and reward/cost rates are studied. The performance index to be maximized is an expected discounted reward and a constraint is imposed on expected discounted cost.Conditions for the existence of constrained-optimal policies are derived with the help of the Lagrange approach. An example of controlled queueing system is given to illustrate the obtained results. It is worth to mention that the paper is the first attempt to fill the gap between constrained discrete-time MCPs and unconstrained continuous-time ones.
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