Impulsive control for continuous-time Markov decision processes: a linear programming approach
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continuous-time Markov decision processdiscounted costimpulsive controllinear programmingoptimization
Existence of optimal solutions to problems involving randomness (49J55) Optimality conditions for problems involving randomness (49K45) Impulsive optimal control problems (49N25) Continuous-time Markov processes on general state spaces (60J25) Linear programming (90C05) Markov and semi-Markov decision processes (90C40) Optimal stochastic control (93E20)
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Cites work
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- A survey of recent results on continuous-time Markov decision processes (with comments and rejoinder)
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- Bellman inequalities in markov decision deterministic drift processes
- Calcul stochastique et problèmes de martingales
- Continuous time markov decision processes with interventions
- Continuous-time Markov decision processes. Theory and applications
- Discounted Continuous-Time Markov Decision Processes with Constraints: Unbounded Transition and Loss Rates
- Discounted continuous-time Markov decision processes with unbounded rates: the convex analytic approach
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- Ergodic control of diffusion processes.
- Existence of Markov Controls and Characterization of Optimal Markov Controls
- scientific article; zbMATH DE number 425394 (Why is no real title available?)
- scientific article; zbMATH DE number 53999 (Why is no real title available?)
- scientific article; zbMATH DE number 1325008 (Why is no real title available?)
- scientific article; zbMATH DE number 977051 (Why is no real title available?)
- scientific article; zbMATH DE number 802908 (Why is no real title available?)
- Impulsive Control for Continuous-Time Markov Decision Processes
- Linear programming approach to the optimal stopping of singular stochastic processes
- Markov Decision Drift Processes; Conditions for Optimality Obtained by Discretization
- Multicriteria impulsive control of jump Markov processes
- Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales
- Numerical Methods for Stochastic Singular Control Problems
- Occupation measures for controlled Markov processes: Characterization and optimality
- On the solution of general impulse control problems using superharmonic functions
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- Stochastic optimal control and linear programming approach
- The expected total cost criterion for Markov decision processes under constraints: a convex analytic approach
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Cited in
(13)- Linear programming approach to optimal impulse control problems with functional constraints
- Stability analysis of time-delay discrete systems with logic impulses
- Impulsively-controlled systems and reverse dwell time: a linear programming approach
- Aggregated occupation measures and linear programming approach to constrained impulse control problems
- On the computation of Whittle's index for Markovian restless bandits
- scientific article; zbMATH DE number 3956845 (Why is no real title available?)
- Gradual-Impulsive Control for Continuous-Time Markov Decision Processes with Total Undiscounted Costs and Constraints: Linear Programming Approach via a Reduction Method
- Long-run risk-sensitive impulse control
- On reducing a constrained gradual-impulsive control problem for a jump Markov model to a model with gradual control only
- Impulsive Control for Continuous-Time Markov Decision Processes
- Asymptotics of impulse control problem with multiplicative reward
- Design and analysis of two discrete-time ZD algorithms for time-varying nonlinear minimization
- Simultaneous impulse and continuous control of a Markov chain in continuous time
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