Semi-markov control processes with unknown holding times distribution under an average cost criterion

Research output: Contribution to journalArticlepeer-review

3 Scopus citations

Abstract

This paper deals with a class of semi-Markov control models with Borel state and control spaces, possibly unbounded costs, and unknown holding times distribution F. Assuming that F does not depend on state-action pairs, we combine suitable methods of statistical estimation of the mean holding time with control procedures to construct an average cost optimal Markovian policy π=\{f t}.

Original languageEnglish
Pages (from-to)317-336
Number of pages20
JournalApplied Mathematics and Optimization
Volume61
Issue number3
DOIs
StatePublished - Jun 2010

Bibliographical note

Funding Information:
Work supported by Consejo Nacional de Ciencia y Tecnología (CONACyT) under Grant 90575.

Keywords

  • Average cost criterion
  • Optimal policy
  • Semi-Markov control processes
  • Statistical estimation
  • Value iteration algorithm

Fingerprint

Dive into the research topics of 'Semi-markov control processes with unknown holding times distribution under an average cost criterion'. Together they form a unique fingerprint.

Cite this