Markov decision processes on Borel spaces with total cost and random horizon

DOI10.1007/S10957-012-0262-8MaRDI QIDQ467433zbMATH OpenOpenAlexFDO

Authors Hugo Cruz-Suárez, Rocio Ilhuicatzi-Roldán, Raúl Montes-de-Oca

Publication date 3 November 2014

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10957-012-0262-8

zbMATH Keywords

Markov decision processtotal costdynamic programming equationvarying-time discount factor

Mathematics Subject Classification ID

Dynamic programming (90C39) Continuous-time Markov processes on general state spaces (60J25) Dynamic programming in optimal control and differential games (49L20) Markov and semi-Markov decision processes (90C40)

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Cites work

• scientific article; zbMATH DE number 700091 (Why is no real title available?)
• scientific article; zbMATH DE number 1455133 (Why is no real title available?)
• scientific article; zbMATH DE number 3320878 (Why is no real title available?)
• MARKOV DECISION PROCESSES WITH RANDOM HORIZON
• Nonstationary discrete-time deterministic and stochastic control systems with infinite horizon
• Stochastic optimal control. The discrete time case
• The linear-quadratic stochastic optimal control problem with random horizon at the finite number of infinitesimal events

Cited in

(11)

• The Borel state space semi-Markov decision process with expected total rewards in a semi-Markov environment
• Death and discounting
• Zero-sum Markov games with random state-actions-dependent discount factors: existence of optimal strategies
• Markov control processes with randomized discounted cost
• A consumption and investment problem via a Markov decision processes approach with random horizon
• Necessity of the terminal condition in the infinite horizon dynamic optimization problems with unbounded payoff
• Markov decision processes with time-varying discount factors and random horizon.
• Discrete-time control with non-constant discount factor
• Sequential hypothesis tests under random horizon
• Optimal assignment of sellers in a store with a random number of clients
• Linear-quadratic optimal control problem with a random horizon

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