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

DOI10.1137/100805169zbMATH Open1250.90108OpenAlexW1989510286MaRDI QIDQ2884585FDOQ2884585

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

Recommendations

• Constrained continuous-time Markov decision processes with average criteria
• Discounted continuous-time Markov decision processes with unbounded rates: the convex analytic approach
• Discounted continuous-time constrained Markov decision processes in Polish spaces
• Denumerable continuous-time Markov decision processes with multiconstraints on average costs
• scientific article; zbMATH DE number 1034051

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)

Cited In (22)

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

This page was built for publication: Linear programming and constrained average optimality for general continuous-time Markov decision processes in history-dependent policies

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2884585)