Semi-Markov Control Processes with Unknown Holding Times Distribution Under an Average Cost Criterion

Semi-Markov Control Processes with Unknown Holding Times Distribution Under an Average Cost... This paper deals with a class of semi-Markov control models with Borel state and control spaces, possibly unbounded costs, and unknown holding times distribution F . Assuming that F does not depend on state-action pairs, we combine suitable methods of statistical estimation of the mean holding time with control procedures to construct an average cost optimal Markovian policy $\hat{\pi}=\{f_{t}\}$ . http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematics and Optimization Springer Journals

Semi-Markov Control Processes with Unknown Holding Times Distribution Under an Average Cost Criterion

, Volume 61 (3) – Jun 1, 2010
20 pages

/lp/springer_journal/semi-markov-control-processes-with-unknown-holding-times-distribution-yawMy00cG7
Publisher
Springer-Verlag
Subject
Mathematics; Numerical and Computational Physics; Mathematical Methods in Physics; Theoretical, Mathematical and Computational Physics; Systems Theory, Control; Calculus of Variations and Optimal Control; Optimization
ISSN
0095-4616
eISSN
1432-0606
D.O.I.
10.1007/s00245-009-9086-9
Publisher site
See Article on Publisher Site

Abstract

This paper deals with a class of semi-Markov control models with Borel state and control spaces, possibly unbounded costs, and unknown holding times distribution F . Assuming that F does not depend on state-action pairs, we combine suitable methods of statistical estimation of the mean holding time with control procedures to construct an average cost optimal Markovian policy $\hat{\pi}=\{f_{t}\}$ .

Journal

Applied Mathematics and OptimizationSpringer Journals

Published: Jun 1, 2010

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