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scientific article; zbMATH DE number 1424150
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scientific article; zbMATH DE number 1424150 |
Statements
2000
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computational Markov chains
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Bellman optimality equation
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algorithms
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transition probabilities
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semi-Markovian decision processes
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average-cost criteria
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optimal control of queues
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0.8595156073570251
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0.8531418442726135
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0.8500560522079468
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The problem is studied, how to control a Markov chain to achieve an economic objective. A general (discrete-time) Markov decision model is introduced. Costs and transition probabilities may be time dependent. The objective is to minimize the expected total costs over an infinite horizon from each starting state. The (Bellman) optimality equation satisfied by the optimal value function (that is the minimal expected total discounted cost as a function of the starting state) is derived. The infinite-horizon discounted problem with time-homogeneous costs and transition probabilities is considered. Algorithms for numerical computation or approximation of the optimal value function and an optimal policy are discussed. Extensions (to semi-Markovian decision processes and average-cost criteria) and applications to problems in the optimal control of queues are commented. For the entire collection see [Zbl 0929.00017].
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