Ergodic Control of Continuous-Time Markov Chains with Pathwise Constraints

DOI10.1137/060668857MaRDI QIDQ5320744zbMATH OpenOpenAlexFDO

Authors Tomás Prieto-Rumeau, Onésimo Hernández-Lerma

Publication date 22 July 2009

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

Full work available at URL https://doi.org/10.1137/060668857

zbMATH Keywords

constrained control problemscontinuous-time controlled Markov chainsdynamic programmingergodic controlMarkov decision processes

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Continuous-time Markov processes on discrete state spaces (60J27) Markov and semi-Markov decision processes (90C40) Optimal stochastic control (93E20)

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Cited in

(23)

• 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
• Constrained expected average stochastic games for continuous-time jump processes
• Postponing collapse: ergodic control with a probabilistic constraint
• Constrained semi-Markov decision processes with ratio and time expected average criteria in Polish spaces
• Optimality of mixed policies for average continuous-time Markov decision processes with constraints
• Absorbing continuous-time Markov decision processes with total cost criteria
• Control of continuous-time Markov chains with safety constraints
• Impulsive control for continuous-time Markov decision processes: a linear programming approach
• scientific article; zbMATH DE number 5957388 (Why is no real title available?)
• Uniform ergodicity of continuous-time controlled Markov chains: a survey and new results
• scientific article; zbMATH DE number 4203409 (Why is no real title available?)
• Continuity of Optimal Values and Solutions for Control of Markov Chains with Constraints
• Denumerable continuous-time Markov decision processes with multiconstraints on average costs
• The Lagrange approach to ergodic control of diffusions with cost constraints
• Constrained Markov decision processes in Borel spaces: from discounted to average optimality
• Optimal Control of Ergodic Continuous-Time Markov Chains with Average Sample-Path Rewards
• The Lagrange and the vanishing discount techniques to controlled diffusions with cost constraints
• Total reward criteria for unconstrained/constrained continuous-time Markov decision processes
• Discounted continuous-time constrained Markov decision processes in Polish spaces
• The vanishing discount approach to constrained continuous-time controlled Markov chains
• Markov control processes with pathwise constraints
• A survey of recent results on continuous-time Markov decision processes (with comments and rejoinder)

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