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

J. Adolfo Minjárez-SosaJosé A. Montoya — 2015

Applicationes Mathematicae

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.

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