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

DOI10.1007/S10957-012-0262-8zbMATH Open1317.90316OpenAlexW1993581478MaRDI QIDQ467433FDOQ467433

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

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

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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)

Cites Work

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• Stochastic optimal control. The discrete time case
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• Nonstationary discrete-time deterministic and stochastic control systems with infinite horizon
• MARKOV DECISION PROCESSES WITH RANDOM HORIZON
• The linear-quadratic stochastic optimal control problem with random horizon at the finite number of infinitesimal events

Cited In (9)

• 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
• Optimal assignment of sellers in a store with a random number of clientsviathe Armed Bandit model
• A consumption and investment problem via a Markov decision processes approach with random horizon
• Title not available (Why is that?)
• Necessity of the terminal condition in the infinite horizon dynamic optimization problems with unbounded payoff
• Sequential hypothesis tests under random horizon

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