期刊
SIAM JOURNAL ON CONTROL AND OPTIMIZATION
卷 49, 期 5, 页码 2032-2061出版社
SIAM PUBLICATIONS
DOI: 10.1137/10081366X
关键词
Borel space; constrained continuous-time Markov decision process; convex analytic approach; duality; history-dependent policies; unbounded rates
资金
- EPSRC [EP/I001328/1] Funding Source: UKRI
- Engineering and Physical Sciences Research Council [EP/I001328/1] Funding Source: researchfish
This paper deals with constrained discounted continuous-time Markov decision processes, also known as controlled jump Markov processes, with Borel state and action spaces. Under some conditions imposed on the primitives, allowing unbounded transition rates and unbounded (from both above and below) cost rates, first, we study the space of occupation measures. Then we reformulate the original problem as a linear program over the space of those measures and undertake the duality analysis. Finally, under some compactness-continuity conditions, we show the existence of a stationary optimal policy out of the class of randomized history-dependent policies.
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