Displaying similar documents to “The cutoff phenomenon for ergodic Markov processes.”

Strong average optimality criterion for continuous-time Markov decision processes

Qingda Wei, Xian Chen (2014)

Kybernetika

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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...

An unbounded Berge's minimum theorem with applications to discounted Markov decision processes

Raúl Montes-de-Oca, Enrique Lemus-Rodríguez (2012)

Kybernetika

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This paper deals with a certain class of unbounded optimization problems. The optimization problems taken into account depend on a parameter. Firstly, there are established conditions which permit to guarantee the continuity with respect to the parameter of the minimum of the optimization problems under consideration, and the upper semicontinuity of the multifunction which applies each parameter into its set of minimizers. Besides, with the additional condition of uniqueness of the minimizer,...

φ PHI-divergences, sufficiency, Bayes sufficiency, and deficiency

Friedrich Liese (2012)

Kybernetika

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The paper studies the relations between φ -divergences and fundamental concepts of decision theory such as sufficiency, Bayes sufficiency, and LeCam’s deficiency. A new and considerably simplified approach is given to the spectral representation of φ -divergences already established in Österreicher and Feldman [28] under restrictive conditions and in Liese and Vajda [22], [23] in the general form. The simplification is achieved by a new integral representation of convex functions in terms...