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Optimality of Mixed Policies for Average Continuous-Time Markov Decision Processes with Constraints

Xianping Guo () and Yi Zhang ()
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Xianping Guo: School of Mathematics and Computational Science, Sun Yat-Sen University, Guangzhou, P.R. China
Yi Zhang: Department of Mathematical Sciences, University of Liverpool, Liverpool, L69 7ZL, United Kingdom

Mathematics of Operations Research, 2016, vol. 41, issue 4, 1276-1296

Abstract: This article concerns the average criteria for continuous-time Markov decision processes with N constraints. We show the following; (a) every extreme point of the space of performance vectors corresponding to the set of stable measures is generated by a deterministic stationary policy; and (b) there exists a mixed optimal policy, where the mixture is over no more than N + 1 deterministic stationary policies.

Keywords: continuous-time Markov decision processes; average criteria; mixed policy; constrained optimality (search for similar items in EconPapers)
Date: 2016
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