Semi-Markov control processes with unknown holding times distribution under a discounted criterion

Fernando Luque-Vásquez and J. Minjárez-Sosa ()

Mathematical Methods of Operations Research, 2005, vol. 61, issue 3, 455-468

Abstract: The paper deals with a class of semi-Markov control models with Borel state and control spaces, possibly unbounded costs, and unknown holding times distribution H. Assuming that H does not depend on state-action pairs, we combine suitable methods of statistical estimation of H with control procedures to construct an asymptotically discounted optimal policy [InlineMediaObject not available: see fulltext.] and an optimal stationary policy { f ∞ }, where f n converges to f ∞ in the sense of Schäl [12]. Copyright Springer-Verlag 2005

Keywords: Semi-Markov control processes; Discounted cost criterion; Asymptotic optimality; Adaptive control; 93E10; 90C40 (search for similar items in EconPapers)
Date: 2005
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DOI: 10.1007/s001860400406

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