Average optimality inequality for continuous-time Markov decision processes in Polish spaces
From MaRDI portal
Publication:2472191
This paper is concerned with the average cost optimality criterion for continuous-time jump Markov decision processes. Assuming some regularity conditions and exponential uniform ergodicity, the author establishes the optimality inequality by employing a vanishing discount factor approach, Fatou's lemma and Tauberian theorem. An optimal policy is obtained as a measurable selector from this optimality inequality. A similar result for discrete-time Markov decision processes was obtained by \textit{M. Schäl} [Math. Oper. Res. 18, No. 1, 163--172 (1993; Zbl 0777.90079)].
Recommendations
- Average optimality for continuous-time Markov decision processes in Polish spaces
- Average sample-path optimality for continuous-time Markov decision processes in Polish spaces
- Average optimality for continuous-time Markov decision processes with a policy iteration approach
- New sufficient conditions for average optimality in continuous-time Markov decision processes
- Average optimality for continuous-time Markov decision processes under weak continuity conditions
Cites work
- A note on bias optimality in controlled queueing systems
- A note on optimality conditions for continuous-time Markov decision processes with average cost criterion
- Another set of conditions for Markov decision processes with average sample-path costs
- Another Set of Conditions for Strongn(n = −1, 0) Discount Optimality in Markov Decision Processes
- Average optimality for continuous-time Markov decision processes in Polish spaces
- Bias Optimality in Controlled Queueing Systems
- Computable exponential convergence rates for stochastically ordered Markov processes
- Continuous time control of Markov processes on an arbitrary state space: Discounted rewards
- Continuous time Markov decision programming with average reward criterion and unbounded reward rate
- Criteria for ergodicity, exponential ergodicity and strong ergodicity of Markov processes
- Drift and monotonicity conditions for continuous-time controlled markov chains with an average criterion
- Equivalence of exponential ergodicity and \(L^ 2\)-exponential convergence for Markov chains.
- Exponential and uniform ergodicity of Markov processes
- Finite state continuous time Markov decision processes with an infinite planning horizon
- scientific article; zbMATH DE number 3148886 (Why is no real title available?)
- scientific article; zbMATH DE number 1233798 (Why is no real title available?)
- scientific article; zbMATH DE number 1325008 (Why is no real title available?)
- scientific article; zbMATH DE number 1751447 (Why is no real title available?)
- scientific article; zbMATH DE number 921048 (Why is no real title available?)
- scientific article; zbMATH DE number 3108056 (Why is no real title available?)
- Nondiscounted Continuous Time Markovian Decision Process with Countable State Space
- On Homogeneous Markov Models with Continuous Time and Finite or Countable State Space
- On maximal rewards and \(\varepsilon\)-optimal policies in continuous time Markov decision chains
- Unbounded cost Markov decision processes with limsup and liminf average criteria: new conditions
Cited in
(11)- Verifiable conditions for average optimality of continuous-time Markov decision processes
- Average sample-path optimality for continuous-time Markov decision processes in Polish spaces
- Average optimality for continuous-time Markov decision processes with a policy iteration approach
- New discount and average optimality conditions for continuous-time Markov decision processes
- Bias and Overtaking Optimality for Continuous-Time Jump Markov Decision Processes in Polish Spaces
- Strong average optimality criterion for continuous-time Markov decision processes
- New sufficient conditions for average optimality in continuous-time Markov decision processes
- Variance minimization for continuous-time Markov decision processes: two approaches
- Strong n-discount and finite-horizon optimality for continuous-time Markov decision processes
- Policy iteration for continuous-time average reward Markov decision processes in Polish spaces
- Average optimality for continuous-time Markov decision processes in Polish spaces
This page was built for publication: Average optimality inequality for continuous-time Markov decision processes in Polish spaces
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2472191)
