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Markov decision chains with unbounded costs and applications to the control of queues

Published online by Cambridge University Press:  01 July 2016

D. R. Robinson
D. R. Robinson*
Affiliation:
University of Sussex
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Abstract

A discrete-time Markov decision model with a denumerable set of states and unbounded costs is considered. It is shown that the optimality equation of dynamic programming along with some additional, easily checked, conditions may be used to establish the optimality or ∊ -optimality of policies with respect to the average expected cost criterion. The results are used to derive optimal policies in two queueing examples.

Keywords

MARKOV DECISION CHAINCONTROLLED QUEUEMINIMUM AVERAGE EXPECTED COST
Type
Research Article
Information
Advances in Applied Probability , Volume 8 , Issue 1 , March 1976 , pp. 159 - 176
Copyright
Copyright © Applied Probability Trust 1976 

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References

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