Discounted Continuous-Time Markov Decision Processes with Constraints: Unbounded Transition and Loss Rates
Published Online:2 Feb 2011https://doi.org/10.1287/moor.1100.0477
References
- Constrained Markov Decision Processes (1999) (Chapman & Hall/CRC, Boca Raton, FL) Google Scholar
- Stochastic Optimal Control (1978) (Academic Press, New York) Google Scholar
- Convex Analysis and Optimization (2003) (Athena Scientific, Belmont, MA) Google Scholar
- Markov Chains: Gibbs Fields, Monte Carlo Simulation, and Queues (1999) (Springer, New York) Crossref, Google Scholar
- Markov Processes; Characterization and Convergence (1986) (Wiley, New York) Crossref, Google Scholar
- Continuous time discounted jump Markov decision processes: A discrete-event approach. Math. Oper. Res. (2004) 29(3):492–524Link, Google Scholar
- First Course in Functional Analysis (1983) (Chelsea Publishing Company, New York) Google Scholar
- Continuous-time Markov decision processes with discounted rewards: The case of Polish spaces. Math. Oper. Res. (2007) 32(1):73–87Link, Google Scholar
- Constrained continuous-time Markov controlled processes with discounted criteria. Stochastic Anal. Appl. (2003) 21(2):379–399Crossref, Google Scholar
- Continuous-time controlled Markov chains with discounted rewards. Acta Appl. Math. (2003) 79(3):195–216Crossref, Google Scholar
- Drift and monotonicity conditions for continuous-time controlled Markov chains with an average criterion. IEEE Trans. Automatic Control (2003) 48(2):236–245Crossref, Google Scholar
- A survey of recent results on continuous-time Markov decision processes. TOP (2006) 14(2):177–257Crossref, Google Scholar
- Discrete-Time Markov Control Processes (1996) (Springer, New York) Crossref, Google Scholar
- Further Topics on Discrete-Time Markov Control Processes (1999) (Springer, New York) Crossref, Google Scholar
- Multivariate point processes: Predictable projection, Radon-Nicodym derivatives, representation of martingales. Z. Wahrscheinlichkeitstheorie und verwandte Gebiete (1975) 31:235–253Crossref, Google Scholar
- Semi-Markov and jump Markov controllable models: Average cost criterion. SIAM Theory Probab. Appl. (1985) 30:272–288Crossref, Google Scholar
- Controlled Queueing Systems (1995) (CRC Press, New York) Google Scholar
- Moments and sums of squares for polynomial optimization and related problems. J. Global Optim. (2009) 45(1):39–61Crossref, Google Scholar
- Theory of Martingales (1989) (Kluwer, Dordrecht, The Netherlands) Crossref, Google Scholar
- Probability and Potentials (1966) (Blaisdell Publishing Company, Waltham, MA) Google Scholar
- Probability Measures on Metric Spaces (2005) (AMS Chelsea Publishing, Providence, RI) Google Scholar
- Control of impulsive processes in problems with constraints. Automatic Remote Control (1994) 55:520–531Google Scholar
- The problem of convex programming with linear constraints. Computational Math. Math. Phys. (1994) 34(4):463–470Google Scholar
- Optimal Control of Random Sequences in Problems with Constraints (1997) (Kluwer Academic Publishers, Dordrecht, The Netherlands) Crossref, Google Scholar
- A controlled jump discounted model with constraints. Theory Probab. Appl. (1998) 42(1):51–72Crossref, Google Scholar
- Optimal interventions in countable jump Markov processes. Math. Oper. Res. (2004) 29:289–308Link, Google Scholar
- Discounted continuous time Markov decision processes: The convex analytic approach. Sixteenth Triennial IFAC World Congress (2005) Prague, Czech RepublicCrossref, Google Scholar
- , Piunovskiy A. Policy iteration and finite approximations to discounted continuous-time controlled Markov chains. Modern Trends in Controlled Stochastic Processes (2010) (Luniver Press, Beckington, UK) 84–101Google Scholar
- Markov Decision Processes (1994) (Wiley, New York) Crossref, Google Scholar
- Conjugate Duality and Optimization (1989) (SIAM, Philadelphia) 45Google Scholar
- Continuous-time Markov decision processes with unbounded transition and discounted-reward rates. Stochastic Anal. Appl. (2008) 26(2):209–231Crossref, Google Scholar

