This paper studies the limit average variance criterion for continuous-time Markov decision processes in Polish spaces. Based on two approaches, this paper proves not only the existence of solutions to the variance mi...This paper studies the limit average variance criterion for continuous-time Markov decision processes in Polish spaces. Based on two approaches, this paper proves not only the existence of solutions to the variance minimization optimality equation and the existence of a variance minimal policy that is canonical, but also the existence of solutions to the two variance minimization optimality inequalities and the existence of a variance minimal policy which may not be canonical. An example is given to illustrate all of our conditions.展开更多
This paper considers the variance optimization problem of average reward in continuous-time Markov decision process (MDP). It is assumed that the state space is countable and the action space is Borel measurable space...This paper considers the variance optimization problem of average reward in continuous-time Markov decision process (MDP). It is assumed that the state space is countable and the action space is Borel measurable space. The main purpose of this paper is to find the policy with the minimal variance in the deterministic stationary policy space. Unlike the traditional Markov decision process, the cost function in the variance criterion will be affected by future actions. To this end, we convert the variance minimization problem into a standard (MDP) by introducing a concept called pseudo-variance. Further, by giving the policy iterative algorithm of pseudo-variance optimization problem, the optimal policy of the original variance optimization problem is derived, and a sufficient condition for the variance optimal policy is given. Finally, we use an example to illustrate the conclusion of this paper.展开更多
In this paper we study the average sample-path cost （ASPC） problem for continuous-time Markov decision processes in Polish spaces. To the best of our knowledge, this paper is a first attempt to study the ASPC criter...In this paper we study the average sample-path cost （ASPC） problem for continuous-time Markov decision processes in Polish spaces. To the best of our knowledge, this paper is a first attempt to study the ASPC criterion on continuous-time MDPs with Polish state and action spaces. The corresponding transition rates are allowed to be unbounded, and the cost rates may have neither upper nor lower bounds. Under some mild hypotheses, we prove the existence of （ε〉 0）-ASPC optimal stationary policies based on two different approaches： one is the ＂optimality equation＂ approach and the other is the ＂two optimality inequalities＂ approach.展开更多
基金supported by the National Natural Science Foundation of China(10801056)the Natural Science Foundation of Ningbo(2010A610094)
文摘This paper studies the limit average variance criterion for continuous-time Markov decision processes in Polish spaces. Based on two approaches, this paper proves not only the existence of solutions to the variance minimization optimality equation and the existence of a variance minimal policy that is canonical, but also the existence of solutions to the two variance minimization optimality inequalities and the existence of a variance minimal policy which may not be canonical. An example is given to illustrate all of our conditions.
文摘This paper considers the variance optimization problem of average reward in continuous-time Markov decision process (MDP). It is assumed that the state space is countable and the action space is Borel measurable space. The main purpose of this paper is to find the policy with the minimal variance in the deterministic stationary policy space. Unlike the traditional Markov decision process, the cost function in the variance criterion will be affected by future actions. To this end, we convert the variance minimization problem into a standard (MDP) by introducing a concept called pseudo-variance. Further, by giving the policy iterative algorithm of pseudo-variance optimization problem, the optimal policy of the original variance optimization problem is derived, and a sufficient condition for the variance optimal policy is given. Finally, we use an example to illustrate the conclusion of this paper.
基金Supported by the National Natural Science Foundation of China (No.10801056)the Natural Science Foundation of Ningbo (No. 2010A610094)K.C. Wong Magna Fund in Ningbo University
文摘In this paper we study the average sample-path cost （ASPC） problem for continuous-time Markov decision processes in Polish spaces. To the best of our knowledge, this paper is a first attempt to study the ASPC criterion on continuous-time MDPs with Polish state and action spaces. The corresponding transition rates are allowed to be unbounded, and the cost rates may have neither upper nor lower bounds. Under some mild hypotheses, we prove the existence of （ε〉 0）-ASPC optimal stationary policies based on two different approaches： one is the ＂optimality equation＂ approach and the other is the ＂two optimality inequalities＂ approach.
