Constrained continuous-time Markov decision processes with average criteria
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Publication:2483010
Constrained continuous-time Markov decision processes with a denumerable state space and unbounded reward/cost and transition rates are studied. The criterion to be maximized is the expected average reward, and a constraint is imposed on an expected average cost. The authors give suitable conditions that ensure the existence of a constrained-optimal policy. Moreover, they show that the constrained-optimal policy randomizes between two stationary policies differing in at most one state. A controlled queueing system is used to illustrate the obtained conditions.
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Cited in
(25)- A mean-variance optimization problem for discounted Markov decision processes
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- Constrained semi-Markov decision processes with ratio and time expected average criteria in Polish spaces
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- Linear programming and constrained average optimality for general continuous-time Markov decision processes in history-dependent policies
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- Markov Decision Processes with Asymptotic Average Failure Rate Constraint
- Convergence of controlled models for continuous-time Markov decision processes with constrained average criteria
- Constrained Discounted Markov Decision Chains
- Constrained Markov decision processes with first passage criteria
- Constrained Semi-Markov decision processes with average rewards
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- The vanishing discount approach to constrained continuous-time controlled Markov chains
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