Average Optimality for Continuous-Time Markov Decision Processes Under Weak Continuity Conditions. (30th January 2018)

• Record Type: Journal Article
• Authors: Zhang, Yi
• Is Part Of: Journal of applied probability. Volume 51:Number 4(2014)
• Page Start: 954
• Page End: 970
• Publication Date: 2018-01-30
• Subjects: Continuous-time Markov decision process, -- average optimality, -- weak continuity; 90C40, -- 60J25; 519.2
• DOI: 10.1239/jap/1421763321
• Languages: English
• ISSNs: 0021-9002

Abstract

Abstract : This paper considers the average optimality for a continuous-time Markov decision process in Borel state and action spaces, and with an arbitrarily unbounded nonnegative cost rate. The existence of a deterministic stationary optimal policy is proved under the conditions that allow the following; the controlled process can be explosive, the transition rates are weakly continuous, and the multifunction defining the admissible action spaces can be neither compact-valued nor upper semicontinuous.