TOTAL REWARD CRITERIA FOR UNCONSTRAINED/CONSTRAINED CONTINUOUS-TIME MARKOV DECISION PROCESSES

作     者：Xianping GUO Lanlan ZHANG Xianping GUO School of Mathematics and Computational Science,Sun Yat-sen University,Guangzhou 510275,China. Lanlan ZHANG School of Public Health and Tropical Medicine,Southern Medical University,Guangzhou 510515,China.

作者机构：School of Mathematics and Computational Science Sun Yat-sen University Guangzhou 510275 China School of Public Health and Tropical Medicine Southern Medical University Guangzhou 510515 China 

出 版 物：《Journal of Systems Science & Complexity》 (系统科学与复杂性学报（英文版）)

年 卷 期：2011年第24卷第3期

页      面：491-505页

核心收录：

学科分类：02[经济学] 07[理学] 08[工学] 070103[理学-概率论与数理统计] 0202[经济学-应用经济学] 020208[经济学-统计学] 082601[工学-武器系统与运用工程] 082501[工学-飞行器设计] 0826[工学-兵器科学与技术] 082602[工学-兵器发射理论与技术] 0714[理学-统计学（可授理学、经济学学位）] 0825[工学-航空宇航科学与技术] 0701[理学-数学] 

基　　金：supported by the National Natural Science Foundation of China under Grant Nos.10925107 and 60874004 

主　　题：Constrained-optimal policy continuous-time Markov decision process optimal policy total reward criterion unbounded reward/cost and transition rates. 

摘      要：This paper studies denumerable continuous-time Markov decision processes with expected total reward criteria. The authors first study the unconstrained model with possible unbounded transition rates, and give suitable conditions on the controlled system＇s primitive data under which the authors show the existence of a solution to the total reward optimality equation and also the existence of an optimal stationary policy. Then, the authors impose a constraint on an expected total cost, and consider the associated constrained model. Basing on the results about the unconstrained model and using the Lagrange multipliers approach, the authors prove the existence of constrained-optimal policies under some additional conditions. Finally, the authors apply the results to controlled queueing systems.