Optimal control of Markov processes with age-dependent transition rates

DOI10.1007/S00245-012-9171-3zbMATH Open1269.93132OpenAlexW2006214844MaRDI QIDQ2391935FDOQ2391935

Authors Subhamay Saha, Mrinal K. Ghosh

Publication date 5 August 2013

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1409.4028

zbMATH Keywords

value functionsemi-Markov decision processcontrol policyage-dependent transition ratesinfinite horizon discounted costaverage cost casesinfinite horizon average cost

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Abstract: We study optimal control of Markov processes with age-dependent transition rates. The control policy is chosen continuously over time based on the state of the process and its age. We study infinite horizon discounted cost and infinite horizon average cost problems. Our approach is via the construction of an equivalent semi-Markov decision process. We characterize the value function and optimal controls for both discounted and average cost cases.

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Cited in

(4)

• scientific article; zbMATH DE number 3941292 (Why is no real title available?)
• Using age structure for a multi-stage optimal control model with random switching time
• Infinite horizon optimal control of mean-field delay system with semi-Markov modulated jump-diffusion processes
• An optimal threshold policy in applications of a two-state Markov process

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