Bayesian estimation of the mean holding time in average semi-Markov control processes

J. Adolfo Minjárez-Sosa, and José A. Montoya. "Bayesian estimation of the mean holding time in average semi-Markov control processes." Applicationes Mathematicae 42.2-3 (2015): 205-218. <http://eudml.org/doc/279949>.

@article{J2015,
abstract = {We consider semi-Markov control models with Borel state and action spaces, possibly unbounded costs, and holding times with a generalized exponential distribution with unknown mean θ. Assuming that such a distribution does not depend on the state-action pairs, we introduce a Bayesian estimation procedure for θ, which combined with a variant of the vanishing discount factor approach yields average cost optimal policies.},
author = {J. Adolfo Minjárez-Sosa, José A. Montoya},
journal = {Applicationes Mathematicae},
keywords = {semi-Markov control processes; Bayes estimator; average cost criterion; optimal policy},
language = {eng},
number = {2-3},
pages = {205-218},
title = {Bayesian estimation of the mean holding time in average semi-Markov control processes},
url = {http://eudml.org/doc/279949},
volume = {42},
year = {2015},
}

TY - JOUR
AU - J. Adolfo Minjárez-Sosa
AU - José A. Montoya
TI - Bayesian estimation of the mean holding time in average semi-Markov control processes
JO - Applicationes Mathematicae
PY - 2015
VL - 42
IS - 2-3
SP - 205
EP - 218
AB - We consider semi-Markov control models with Borel state and action spaces, possibly unbounded costs, and holding times with a generalized exponential distribution with unknown mean θ. Assuming that such a distribution does not depend on the state-action pairs, we introduce a Bayesian estimation procedure for θ, which combined with a variant of the vanishing discount factor approach yields average cost optimal policies.
LA - eng
KW - semi-Markov control processes; Bayes estimator; average cost criterion; optimal policy
UR - http://eudml.org/doc/279949
ER -