Linear programming and constrained average optimality for general continuous-time Markov decision processes in history-dependent policies

DOI10.1137/100805169MaRDI QIDQ2884585zbMATHOpenAlexFDO

Authors Xianping Guo, Yonghui Huang, Xin-Yuan Song

Publication date 30 May 2012

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/100805169

zbMATH Keywords

unbounded transition ratelinear programcontinuous-time Markov processconstrained optimal policydual programaverage criterion

Mathematics Subject Classification ID

Continuous-time Markov processes on discrete state spaces (60J27) Markov and semi-Markov decision processes (90C40)

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• scientific article; zbMATH DE number 1034051

Cited in

(22)

• Constrained semi-Markov decision processes with ratio and time expected average criteria in Polish spaces
• Continuous-time zero-sum games for markov decision processes with discounted risk-sensitive cost criterion on a general state space
• Constrained expected average stochastic games for continuous-time jump processes
• Risk-sensitive continuous-time Markov decision processes with unbounded rates and Borel spaces
• Finite horizon continuous-time Markov decision processes with mean and variance criteria
• Transient policies in discrete dynamic programming: Linear programming including suboptimality tests and additional constraints
• Risk-sensitive average continuous-time Markov decision processes with unbounded rates
• Continuous-time Markov decision processes under the risk-sensitive first passage discounted cost criterion
• Finite-horizon piecewise deterministic Markov decision processes with unbounded transition rates
• Nonzero-sum games for continuous-time jump processes under the expected average payoff criterion
• Average cost criterion induced by the regular utility function for continuous-time Markov decision processes
• Risk-sensitive discounted continuous-time Markov decision processes with unbounded rates
• Absorbing continuous-time Markov decision processes with total cost criteria
• Finite-horizon optimality for continuous-time Markov decision processes with unbounded transition rates
• Stochastic games for continuous-time jump processes under finite-horizon payoff criterion
• Constrained continuous-time Markov decision processes on the finite horizon
• Discounted continuous-time Markov decision processes with unbounded rates and randomized history-dependent policies: the dynamic programming approach
• Average optimality for continuous-time Markov decision processes under weak continuity conditions
• Risk-sensitive discounted cost criterion for continuous-time Markov decision processes on a general state space
• The risk probability criterion for discounted continuous-time Markov decision processes
• Optimality of mixed policies for average continuous-time Markov decision processes with constraints
• A linear programming formulation for constrained discounted continuous control for piecewise deterministic Markov processes

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