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Displaying similar documents to “Approximate gradient projection method with general Runge-Kutta schemes and piecewise polynomial controls for optimal control problems”

Strong average optimality criterion for continuous-time Markov decision processes

Qingda Wei, Xian Chen (2014)

Kybernetika

Similarity:

This paper deals with continuous-time Markov decision processes with the unbounded transition rates under the strong average cost criterion. The state and action spaces are Borel spaces, and the costs are allowed to be unbounded from above and from below. Under mild conditions, we first prove that the finite-horizon optimal value function is a solution to the optimality equation for the case of uncountable state spaces and unbounded transition rates, and that there exists an optimal...