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1 results

  • Absorbing Continuous-Time Markov Decision Processes with Total Cost Criteria

  • Part of
  • Xianping Guo, Mantas Vykertas, Yi Zhang
  • Journal:
    Advances in Applied Probability / Volume 45 / Issue 2 / June 2013
    Published online by Cambridge University Press:
    22 February 2016, pp. 490-519
    Print publication:
    June 2013
    • Article
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  • In this paper we study absorbing continuous-time Markov decision processes in Polish state spaces with unbounded transition and cost rates, and history-dependent policies. The performance measure is the expected total undiscounted costs. For the unconstrained problem, we show the existence of a deterministic stationary optimal policy, whereas, for the constrained problems with N constraints, we show the existence of a mixed stationary optimal policy, where the mixture is over no more than N+1 deterministic stationary policies. Furthermore, the strong duality result is obtained for the associated linear programs.