A linear programming formulation for constrained discounted continuous control for piecewise deterministic Markov processes

DOI10.1016/j.jmaa.2014.11.036zbMath1346.49023arXiv1402.6105OpenAlexW2046768180MaRDI QIDQ482730

Oswaldo L. V. Costa, François Dufour

Publication date: 6 January 2015

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1402.6105

zbMATH Keywords

linear programmingMarkov decision processesconstraintspiecewise deterministic Markov processesdiscounted costgeneral Borel spacesdiscrete-time Markov chain

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Discrete-time Markov processes on general state spaces (60J05) Linear programming (90C05) Markov and semi-Markov decision processes (90C40) Optimality conditions for problems involving randomness (49K45) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (7)

Impulsive control for continuous-time Markov decision processes: a linear programming approach ⋮ From Infinite to Finite Programs: Explicit Error Bounds with Applications to Approximate Dynamic Programming ⋮ Adaptive discounted control for piecewise deterministic Markov processes ⋮ Multiconstrained Finite-Horizon Piecewise Deterministic Markov Decision Processes with Unbounded Transition Rates ⋮ Infection time in multistable gene networks. A backward stochastic variational inequality with nonconvex switch-dependent reflection approach ⋮ Note on discounted continuous-time Markov decision processes with a lower bounding function ⋮ Constrained and Unconstrained Optimal Discounted Control of Piecewise Deterministic Markov Processes

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