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

Qingda Wei ()
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Qingda Wei: Huaqiao University

4OR, 2017, vol. 15, issue 1, No 3, 67-84

Abstract: 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.

Keywords: Continuous-time Markov decision processes; Finite-horizon expected total cost criterion; Unbounded transition rates; Finite approximation; 93E20; 90C40 (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1007/s10288-016-0321-3

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