NDLI: Drift and monotonicity conditions for continuous-time controlled Markov chains with an average criterion

Content Provider	IEEE Xplore Digital Library
Author	Guo, X. Hernandez-Lerma, O.
Copyright Year	1963
Abstract	We give conditions for the existence of average optimal policies for continuous-time controlled Markov chains with a denumerable state-space and Borel action sets. The transition rates are allowed to be unbounded, and the reward/cost rates may have neither upper nor lower bounds. In the spirit of the "drift and monotonicity" conditions for continuous-time Markov processes, we propose a new set of conditions on the controlled process' primitive data under which the existence of optimal (deterministic) stationary policies in the class of randomized Markov policies is proved using the extended generator approach instead of Kolmogorov's forward equation used in the previous literature, and under which the convergence of a policy iteration method is also shown. Moreover, we use a controlled queueing system to show that all of our conditions are satisfied, whereas those in the previous literature fail to hold.
Sponsorship	IEEE Control Systems Society
Starting Page	236
Ending Page	245
Page Count	10
File Size	907850
File Format	PDF
ISSN	00189286
Volume Number	48
Issue Number	2
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2003-02-01
Publisher Place	U.S.A.
Access Restriction	One Nation One Subscription (ONOS)
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Cost function Optimal control Mathematics Control systems Cities and towns Integral equations Markov processes Process control Convergence Stochastic systems
Content Type	Text
Resource Type	Article
Subject	Control and Systems Engineering Electrical and Electronic Engineering Computer Science Applications

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