Constrained continuous-time Markov decision processes with average criteria

Lanlan Zhang () and Xianping Guo ()

Mathematical Methods of Operations Research, 2008, vol. 67, issue 2, 323-340

Abstract: In this paper, we study constrained continuous-time Markov decision processes with a denumerable state space and unbounded reward/cost and transition rates. The criterion to be maximized is the expected average reward, and a constraint is imposed on an expected average cost. We give suitable conditions that ensure the existence of a constrained-optimal policy. Moreover, we show that the constrained-optimal policy randomizes between two stationary policies differing in at most one state. Finally, we use a controlled queueing system to illustrate our conditions. Copyright Springer-Verlag 2008

Keywords: Continuous-time Markov decision process; Unbounded reward/cost and transition rates; Average criteria; Constrained-optimal policy; 90C40; 93E20 (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s00186-007-0154-0

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