A note on optimality conditions for continuous-time Markov decision processes with average cost criterion

Author

Guo, Xianping ; Liu, Ke

Author_Institution

Dept. of Math., Zhongshan Univ., China

Volume

46

Issue

12

fYear

2001

fDate

12/1/2001 12:00:00 AM

Firstpage

1984

Lastpage

1989

Abstract

This note deals with continuous-time Markov decision processes with a denumerable state space and the average cost criterion. The transition rates are allowed to be unbounded, and the action set is a Borel space. We give a new set of conditions under which the existence of optimal stationary policies is ensured by using the optimality inequality. Our results are illustrated with a controlled queueing model. Moreover, we use an example to show that our conditions do not imply the existence of a solution to the optimality equations in the previous literature

Keywords

Markov processes; decision theory; optimal control; queueing theory; Borel space; action set; average cost criterion; continuous-time Markov decision processes; controlled queueing model; denumerable state space; optimal control; optimality conditions; unbounded transition rates; Cost function; Dynamic programming; Equations; Information management; Laboratories; Mathematics; Process control; State-space methods; Stochastic processes; Systems engineering and theory;

fLanguage

English

Journal_Title

Automatic Control, IEEE Transactions on

Publisher

ieee

ISSN

0018-9286

Type

jour

DOI

10.1109/9.975505

Filename

975505