Strong average optimality criterion for continuous-time Markov decision processes

MaRDI QIDQ5179071zbMATH OpenFDO

Authors Qingda Wei, Xian Chen

Publication date 19 March 2015

Full work available at URL http://www.kybernetika.cz/content/2014/6/950

zbMATH Keywords

unbounded transition ratesoptimal policycontinuous-time Markov decision processesoptimal value functionfinite-horizon expected total cost criterionstrong average optimality criterion

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Markov and semi-Markov decision processes (90C40) Optimal stochastic control (93E20)

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Cited in

(24)

• Nonzero-sum risk-sensitive finite-horizon continuous-time stochastic games
• Discount-sensitive equilibria in zero-sum stochastic differential games
• Constrained expected average stochastic games for continuous-time jump processes
• Optimal average value convergence in nonhomogeneous Markov decision 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
• A new strong optimality criterion for nonstationary Markov decision processes
• STRONG AVERAGE OPTIMALITY FOR CONTROLLED NONHOMOGENEOUS MARKOV CHAINS^*
• New sufficient conditions for average optimality in continuous-time Markov decision processes
• Optimal Control of Ergodic Continuous-Time Markov Chains with Average Sample-Path Rewards
• Exponential Convergence in Undiscounted Continuous-Time Markov Decision Chains
• A note on optimality conditions for continuous-time Markov decision processes with average cost criterion
• Uniform ergodicity of continuous-time controlled Markov chains: a survey and new results
• Average optimality for continuous-time Markov decision processes with a policy iteration approach
• Verifiable conditions for average optimality of continuous-time Markov decision processes
• Continuous-time Markov decision processes under the risk-sensitive average cost criterion
• Mean-semivariance optimality for continuous-time Markov decision processes
• Average cost criterion induced by the regular utility function for continuous-time Markov decision processes
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• Continuous-time Markov decision processes with risk-sensitive finite-horizon cost criterion
• Strong n-discount and finite-horizon optimality for continuous-time Markov decision processes
• Risk-sensitive average continuous-time Markov decision processes with unbounded rates
• Finite approximation for finite-horizon continuous-time Markov decision processes

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