论文信息 - Controlled semi-Markov models, the discounted case

Controlled semi-Markov models, the discounted case

Abstract Let the state space S be a Borel subset of a complete separable metric space, the action space A compact metric. Existence of stationary optimal policies is proved for general semi-Markov models with possibly unbounded rewards. The corresponding dynamic programming equations are also derived. The paper presents a synthesis and extensions of earlier results.

Mukul Majumdar | R. Bhattacharya | M. Majumdar | Rabindra N Bhattacharya

[1] R. Bhattacharya,et al. ASYMPTOTICS OF A CLASS OF MARKOV PROCESSES WHICH ARE NOT IN GENERAL IRREDUCIBLE , 1988 .

[2] D. Blackwell. Discounted Dynamic Programming , 1965 .

[3] Stanley R. Pliska,et al. Controlled jump processes , 1975 .

[4] H. Leland.. Optimal Growth in a Stochastic Environment , 1974 .

[5] E. Denardo. CONTRACTION MAPPINGS IN THE THEORY UNDERLYING DYNAMIC PROGRAMMING , 1967 .

[6] John Rust. Optimal Replacement of GMC Bus Engines: An Empirical Model of Harold Zurcher , 1987 .

[7] N. Furukawa. Markovian Decision Processes with Compact Action Spaces , 1972 .

[8] Rabi Bhattacharya,et al. Stochastic processes with applications , 1990 .

[9] Mukul Majumdar,et al. CONTROLLED SEMI-MARKOV MODELS UNDER LONG-RUN AVERAGE REWARDS , 1989 .

[10] R. Radner. OPTIMAL GROWTH IN A LINEAR-LOGARITHMIC ECONOMY, , 1966 .

[11] John Rust. Maximum likelihood estimation of discrete control processes , 1988 .

[12] T. Srinivasan,et al. Optimal Savings under Uncertainty , 1969 .

[13] S. Ross. Average cost semi-markov decision processes , 1970, Journal of Applied Probability.

[14] S. Lippman. On Dynamic Programming with Unbounded Rewards , 1975 .

[15] J. Doob. Stochastic processes , 1953 .