On self-optimizing control of Markov processes
Petr Mandl (1985)
Banach Center Publications
Similarity:
Petr Mandl (1985)
Banach Center Publications
Similarity:
Raúl Montes-de-Oca, Alexander Sakhanenko, Francisco Salem-Silva (2003)
Applicationes Mathematicae
Similarity:
We analyse a Markov chain and perturbations of the transition probability and the one-step cost function (possibly unbounded) defined on it. Under certain conditions, of Lyapunov and Harris type, we obtain new estimates of the effects of such perturbations via an index of perturbations, defined as the difference of the total expected discounted costs between the original Markov chain and the perturbed one. We provide an example which illustrates our analysis.
Anna Jaśkiewicz (2009)
Applicationes Mathematicae
Similarity:
We establish the average cost optimality equation and show the existence of an (ε-)optimal stationary policy for semi-Markov control processes without compactness and continuity assumptions. The only condition we impose on the model is the V-geometric ergodicity of the embedded Markov chain governed by a stationary policy.
Raúl Montes-de-Oca, Francisco Salem-Silva (2005)
Kybernetika
Similarity:
This paper deals with Markov decision processes (MDPs) with real state space for which its minimum is attained, and that are upper bounded by (uncontrolled) stochastically ordered (SO) Markov chains. We consider MDPs with (possibly) unbounded costs, and to evaluate the quality of each policy, we use the objective function known as the average cost. For this objective function we consider two Markov control models and . and have the same components except for the transition laws....
Zbyněk Šidák (1976)
Aplikace matematiky
Similarity:
Laurent Mazliak (2007)
Revue d'histoire des mathématiques
Similarity:
We present the letters sent by Wolfgang Doeblin to Bohuslav Hostinský between 1936 and 1938. They concern some aspects of the general theory of Markov chains and the solutions of the Chapman-Kolmogorov equation that Doeblin was then establishing for his PhD thesis.
Andrzej Nowak (1998)
Applicationes Mathematicae
Similarity:
We provide a generalization of Ueno's inequality for n-step transition probabilities of Markov chains in a general state space. Our result is relevant to the study of adaptive control problems and approximation problems in the theory of discrete-time Markov decision processes and stochastic games.
Jeffrey J. Hunter (2016)
Special Matrices
Similarity:
This article describes an accurate procedure for computing the mean first passage times of a finite irreducible Markov chain and a Markov renewal process. The method is a refinement to the Kohlas, Zeit fur Oper Res, 30, 197–207, (1986) procedure. The technique is numerically stable in that it doesn’t involve subtractions. Algebraic expressions for the special cases of one, two, three and four states are derived.Aconsequence of the procedure is that the stationary distribution of the...
Yin, G.George, Yong, Jiongmin (2002)
Journal of Applied Mathematics and Stochastic Analysis
Similarity: