Optimal Control of Markov Processes with Age-Dependent Transition Rates

Journal Article · Mon Oct 15 00:00:00 EDT 2012 · Applied Mathematics and Optimization

DOI:https://doi.org/10.1007/S00245-012-9171-3· OSTI ID:22092057

Saha, Subhamay ^[1]

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1. Indian Institute of Science, Department of Mathematics (India)

We study optimal control of Markov processes with age-dependent transition rates. The control policy is chosen continuously over time based on the state of the process and its age. We study infinite horizon discounted cost and infinite horizon average cost problems. Our approach is via the construction of an equivalent semi-Markov decision process. We characterise the value function and optimal controls for both discounted and average cost cases.

• OSTI ID: 22092057
• Journal Information: Applied Mathematics and Optimization, Vol. 66, Issue 2; Other Information: Copyright (c) 2012 Springer Science+Business Media, LLC; Country of input: International Atomic Energy Agency (IAEA); ISSN 0095-4616
• Country of Publication: United States
• Language: English

Related Subjects

24 POWER TRANSMISSION AND DISTRIBUTION
97 MATHEMATICAL METHODS AND COMPUTING
AGE DEPENDENCE
COST
DECISION TREE ANALYSIS
MARKOV PROCESS
OPTIMAL CONTROL
OPTIMIZATION