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Title: Optimal Control of Markov Processes with Age-Dependent Transition Rates

Abstract

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.

Authors:
 [1]
  1. Indian Institute of Science, Department of Mathematics (India)
Publication Date:
OSTI Identifier:
22092057
Resource Type:
Journal Article
Journal Name:
Applied Mathematics and Optimization
Additional Journal Information:
Journal Volume: 66; Journal Issue: 2; Other Information: Copyright (c) 2012 Springer Science+Business Media, LLC; Country of input: International Atomic Energy Agency (IAEA); Journal ID: ISSN 0095-4616
Country of Publication:
United States
Language:
English
Subject:
24 POWER TRANSMISSION AND DISTRIBUTION; 97 MATHEMATICAL METHODS AND COMPUTING; AGE DEPENDENCE; COST; DECISION TREE ANALYSIS; MARKOV PROCESS; OPTIMAL CONTROL; OPTIMIZATION

Citation Formats

Ghosh, Mrinal K., E-mail: mkg@math.iisc.ernet.in, and Saha, Subhamay. Optimal Control of Markov Processes with Age-Dependent Transition Rates. United States: N. p., 2012. Web. doi:10.1007/S00245-012-9171-3.
Ghosh, Mrinal K., E-mail: mkg@math.iisc.ernet.in, & Saha, Subhamay. Optimal Control of Markov Processes with Age-Dependent Transition Rates. United States. https://doi.org/10.1007/S00245-012-9171-3
Ghosh, Mrinal K., E-mail: mkg@math.iisc.ernet.in, and Saha, Subhamay. 2012. "Optimal Control of Markov Processes with Age-Dependent Transition Rates". United States. https://doi.org/10.1007/S00245-012-9171-3.
@article{osti_22092057,
title = {Optimal Control of Markov Processes with Age-Dependent Transition Rates},
author = {Ghosh, Mrinal K., E-mail: mkg@math.iisc.ernet.in and Saha, Subhamay},
abstractNote = {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.},
doi = {10.1007/S00245-012-9171-3},
url = {https://www.osti.gov/biblio/22092057}, journal = {Applied Mathematics and Optimization},
issn = {0095-4616},
number = 2,
volume = 66,
place = {United States},
year = {Mon Oct 15 00:00:00 EDT 2012},
month = {Mon Oct 15 00:00:00 EDT 2012}
}