Optimal Control of Markov Processes with Age-Dependent Transition Rates

被引：0
|
作者：
Mrinal K. Ghosh
Subhamay Saha
机构：
[1] Indian Institute of Science,Department of Mathematics
来源：
Applied Mathematics & Optimization | 2012年 / 66卷
关键词：
Age-dependent transition rates; Semi-Markov decision process; Infinite horizon discounted cost; Infinite horizon average cost;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
We study optimal control of Markov processes with age-dependent transition rates. The control policy is chosen continuously over time based on the state of the process and its age. We study infinite horizon discounted cost and infinite horizon average cost problems. Our approach is via the construction of an equivalent semi-Markov decision process. We characterise the value function and optimal controls for both discounted and average cost cases.
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页码：257 / 271
页数：14
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