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

Author

Feinberg, Eugene A.

Author_Institution

Dept. of Appl. Math. & Stat., State Univ. of New York, Stony Brook, NY, USA

Volume

1

fYear

1999

fDate

1999

Firstpage

937

Abstract

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

Keywords

Markov processes; constraint theory; continuous time systems; decision theory; discrete event systems; optimisation; random processes; stochastic systems; action changing; constrained optimization; constraints; discounted semi-Markov decision processes; discounted stochastic continuous-time discrete-event systems optimization; equivalent strategies; expected total discounted rewards; jump epochs; multiple-objective continuous-time jump Markov decision processes; process reduction; randomized strategies; Constraint optimization; Constraint theory; Control system synthesis; Discrete event systems; Mathematics; Statistics; Stochastic systems; Telecommunication control; Virtual manufacturing; World Wide Web;

fLanguage

English

Publisher

ieee

Conference_Titel

Decision and Control, 1999. Proceedings of the 38th IEEE Conference on

Conference_Location

Phoenix, AZ

ISSN

0191-2216

Print_ISBN

0-7803-5250-5

Type

conf

DOI

10.1109/CDC.1999.832913

Filename

832913