Policy improvement algorithm for continuous time Markov decision processes with switching costs

2005 ◽  
pp. 320-331 ◽  
Author(s):  
Bharat Doshi
Keyword(s):  
Markov Decision Processes ◽  
Continuous Time ◽  
Switching Costs ◽  
Decision Processes ◽  
Policy Improvement ◽  
Improvement Algorithm ◽  
Markov Decision

scholarly journals Denumerable state continuous time Markov decision processes with unbounded cost and transition rates under average criterion

2002 ◽  
Vol 43 (4) ◽  
pp. 541-557 ◽  
Author(s):  
Xianping Guo ◽  
Weiping Zhu
Keyword(s):  
Markov Decision Processes ◽  
Continuous Time ◽  
Decision Processes ◽  
Transition Rates ◽  
Birth And Death Processes ◽  
Optimality Equation ◽  
Average Criterion ◽  
Markov Decision ◽  
Unbounded Cost ◽  
Queue Model

AbstractIn this paper, we consider denumerable state continuous time Markov decision processes with (possibly unbounded) transition and cost rates under average criterion. We present a set of conditions and prove the existence of both average cost optimal stationary policies and a solution of the average optimality equation under the conditions. The results in this paper are applied to an admission control queue model and controlled birth and death processes.

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