Markov Decision Processes with a Constraint on the Asymptotic Failure Rate

M. Boussemart, T. Bickard and N. Limnios
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M. Boussemart: Université de Technologie de Compiègne
T. Bickard: Snecma Control Systems
N. Limnios: Université de Technologie de Compiègne

Methodology and Computing in Applied Probability, 2001, vol. 3, issue 2, 199-214

Abstract: Abstract In this paper, we introduce a Markov decision model with absorbing states and a constraint on the asymptotic failure rate. The objective is to find a stationary policy which minimizes the infinite horizon expected average cost, given that the system never fails. Using Perron-Frobenius theory of non-negative matrices and spectral analysis, we show that the problem can be reduced to a linear programming problem. Finally, we apply this method to a real problem for an aeronautical system.

Keywords: constrained Markov decision process; asymptotic failure rate; primitive matrices; linear programming (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (1)

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DOI: 10.1023/A:1012209311286

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