Computable approximations for continuous-time Markov decision processes on Borel spaces based on empirical measures
DOI10.1016/J.JMAA.2016.05.055zbMATH Open1338.93397OpenAlexW2414220426MaRDI QIDQ302091FDOQ302091
Tomás Prieto-Rumeau, F. Dufour, Jonatha Anselmi
Publication date: 4 July 2016
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2016.05.055
\(\epsilon\)-optimal policyapproximation of the optimal value functioncontinuous-time Markov decision processespiecewise Lipschitz continuous control models
Continuous-time Markov processes on general state spaces (60J25) Markov and semi-Markov decision processes (90C40) Optimal stochastic control (93E20)
Cites Work
- Title not available (Why is that?)
- Selected Topics on Continuous-Time Controlled Markov Chains and Markov Games
- Calcul stochastique et problèmes de martingales
- Adaptive Markov control processes
- Convergence of controlled models and finite-state approximation for discounted continuous-time Markov decision processes with constraints
- Title not available (Why is that?)
- Discounted Continuous-Time Controlled Markov Chains: Convergence of Control Models
- Approximating Ergodic Average Reward Continuous-Time Controlled Markov Chains
- Approximate Dynamic Programming
- Simulation-based algorithms for Markov decision processes.
- Stochastic approximations of constrained discounted Markov decision processes
- Finite linear programming approximations of constrained discounted Markov decision processes
- Approximate iterative algorithms
- Asymptotic Optimality and Rates of Convergence of Quantized Stationary Policies in Stochastic Control
- Discounted Continuous-Time Markov Decision Processes with Unbounded Rates: The Convex Analytic Approach
- Title not available (Why is that?)
- Title not available (Why is that?)
- Convergence of Dynamic Programming Models
- An optimal one-way multigrid algorithm for discrete-time stochastic control
- Convergence of discretization procedures in dynamic programming
- Approximations of Dynamic Programs, I
- Simple bounds for the convergence of empirical and occupation measures in 1-Wasserstein distance
- Title not available (Why is that?)
- Discounted continuous-time Markov decision processes with unbounded rates and randomized history-dependent policies: the dynamic programming approach
- Title not available (Why is that?)
- Approximation of average cost Markov decision processes using empirical distributions and concentration inequalities
Cited In (4)
- Continuous-time constrained stochastic games with average criteria
- Approximation of discounted minimax Markov control problems and zero-sum Markov games using Hausdorff and Wasserstein distances
- Convergence of Finite Element Methods for Singular Stochastic Control
- Computable approximations for average Markov decision processes in continuous time
This page was built for publication: Computable approximations for continuous-time Markov decision processes on Borel spaces based on empirical measures
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q302091)
