کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
478111 | 1446022 | 2014 | 11 صفحه PDF | دانلود رایگان |
• Convergence of the optimal values for discounted constrained continuous-time Markov decision processes (CTMDP).
• Convergence of optimal policies for discounted constrained CTMDP.
• Finite-state approximation to countable-state discounted constrained CTMDP.
• Applied examples and convergence rates.
In this paper we consider the convergence of a sequence {Mn}{Mn} of the models of discounted continuous-time constrained Markov decision processes (MDP) to the “limit” one, denoted by M∞M∞. For the models with denumerable states and unbounded transition rates, under reasonably mild conditions we prove that the (constrained) optimal policies and the optimal values of {Mn}{Mn} converge to those of M∞M∞, respectively, using a technique of occupation measures. As an application of the convergence result developed here, we show that an optimal policy and the optimal value for countable-state continuous-time MDP can be approximated by those of finite-state continuous-time MDP. Finally, we further illustrate such finite-state approximation by solving numerically a controlled birth-and-death system and also give the corresponding error bound of the approximation.
Journal: European Journal of Operational Research - Volume 238, Issue 2, 16 October 2014, Pages 486–496