Title :
Ergodic control of continuous-time Markov chains with pathwise constraints
Author :
Prieto-Rumeau, Tomás ; Hernández-Lerma, Onésimo
Author_Institution :
Dept. of Stat., UNED, Madrid, Spain
Abstract :
We deal with unichain ergodic continuous-time controlled Markov chains with a denumerable state space, and unbounded reward and transition rates. We are concerned with finding control policies that maximize a sample-path average reward over the family of policies for which a certain pathwise average cost is below a given value with probability one. We illustrate our results with examples on the control of a queueing system and an epidemic process.
Keywords :
Markov processes; continuous time systems; queueing theory; state-space methods; epidemic process; ergodic control; pathwise average cost; pathwise constraints; queueing system; sample-path average reward; unichain ergodic continuous-time controlled Markov chains; Control systems; Cost function; Diffusion processes; Dynamic programming; Lagrangian functions; Linear programming; Mathematical model; State-space methods; Stochastic processes; Traffic control;
Conference_Titel :
Decision and Control, 2009 held jointly with the 2009 28th Chinese Control Conference. CDC/CCC 2009. Proceedings of the 48th IEEE Conference on
Conference_Location :
Shanghai
Print_ISBN :
978-1-4244-3871-6
Electronic_ISBN :
0191-2216
DOI :
10.1109/CDC.2009.5400254
