New approach to optimization of discounted stochastic continuous-time discrete-event systems

Introduces and develops a new approach to the theory of continuous-time jump Markov decision processes (CTJMDP). This approach reduces discounted CTJMDPs to discounted semi-Markov decision processes (SMDPs). The reduction is based on the equivalence of strategies that change actions between jumps to the randomized strategies that change actions only at jump epochs. In particular, this paper introduces the theory for multiple-objective CTJMDPs with expected total discounted rewards and constraints. As an intermediate step, this paper develops the theory of constrained optimization of discounted SMDPs