Optimal Control of Markov Processes with Age-Dependent Transition Rates

Optimal Control of Markov Processes with Age-Dependent Transition Rates 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematics and Optimization Springer Journals

Optimal Control of Markov Processes with Age-Dependent Transition Rates

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Publisher
Springer-Verlag
Copyright
Copyright © 2012 by Springer Science+Business Media, LLC
Subject
Mathematics; Systems Theory, Control; Calculus of Variations and Optimal Control; Optimization; Theoretical, Mathematical and Computational Physics; Mathematical Methods in Physics; Numerical and Computational Physics
ISSN
0095-4616
eISSN
1432-0606
D.O.I.
10.1007/s00245-012-9171-3
Publisher site
See Article on Publisher Site

Abstract

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.

Journal

Applied Mathematics and OptimizationSpringer Journals

Published: Oct 1, 2012

References

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