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  1. 4OR
  2. 4OR : Volume 15
  3. 4OR : Volume 15, Issue 1, March 2017
  4. Finite approximation for finite-horizon continuous-time Markov decision processes
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4OR : Volume 15
4OR : Volume 15, Issue 2, June 2017
4OR : Volume 15, Issue 1, March 2017
Optimization in liner shipping
Balancing two-sided U-type assembly lines using modified particle swarm optimization algorithm
Finite approximation for finite-horizon continuous-time Markov decision processes
A class of adaptive Dai–Liao conjugate gradient methods based on the scaled memoryless BFGS update
Third order duality in nonlinear programming problems
Modeling in air transportation: cargo loading and itinerary choice
Optimizing practical orienteering problems with stochastic time-dependent travel times: towards congestion free routes
4OR : Volume 14
4OR : Volume 13
4OR : Volume 12
4OR : Volume 11
4OR : Volume 10
4OR : Volume 9
4OR : Volume 8
4OR : Volume 7
4OR : Volume 6
4OR : Volume 5
4OR : Volume 4
4OR : Volume 3
4OR : Volume 2
4OR : Volume 1

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Finite approximation for finite-horizon continuous-time Markov decision processes

Content Provider SpringerLink
Author Wei, Qingda
Copyright Year 2016
Abstract In this paper we study the continuous-time Markov decision processes with a denumerable state space, a Borel action space, and unbounded transition and cost rates. The optimality criterion to be considered is the finite-horizon expected total cost criterion. Under the suitable conditions, we propose a finite approximation for the approximate computations of an optimal policy and the value function, and obtain the corresponding error estimations. Furthermore, our main results are illustrated with a controlled birth and death system.
Ending Page 84
Page Count 18
Starting Page 67
File Format PDF
ISSN 16194500
e-ISSN 16142411
Journal 4OR
Issue Number 1
Volume Number 15
Language English
Publisher Springer Berlin Heidelberg
Publisher Date 2016-06-11
Publisher Place Berlin, Heidelberg
Access Restriction One Nation One Subscription (ONOS)
Subject Keyword Continuous-time Markov decision processes Finite approximation Finite-horizon expected total cost criterion Optimal stochastic control Industrial and Production Engineering Operation Research/Decision Theory Unbounded transition rates Optimization Markov and semi-Markov decision processes
Content Type Text
Resource Type Article
Subject Theoretical Computer Science Management Science and Operations Research Management Information Systems Computational Theory and Mathematics
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