Numerical Approximations for Discounted Continuous Time Markov Decision Processes
| hal.structure.identifier | Institut Polytechnique de Bordeaux [Bordeaux INP] | |
| hal.structure.identifier | Quality control and dynamic reliability [CQFD] | |
| hal.structure.identifier | Institut de Mathématiques de Bordeaux [IMB] | |
| dc.contributor.author | DUFOUR, François | |
| hal.structure.identifier | Universidad Nacional de Educación a Distancia [UNED] | |
| dc.contributor.author | PRIETO-RUMEAU, Tomás | |
| dc.contributor.editor | George Yin | |
| dc.contributor.editor | Qing Zhang | |
| dc.date.accessioned | 2024-04-04T02:58:16Z | |
| dc.date.available | 2024-04-04T02:58:16Z | |
| dc.date.issued | 2019-07-17 | |
| dc.identifier.uri | https://oskar-bordeaux.fr/handle/20.500.12278/192641 | |
| dc.description.abstractEn | This paper deals with a continuous-time Markov decision process M, with Borel state and action spaces, under the total expected discounted cost optimality criterion. By suitably approximating an underlying probability measure with a measure with finite support and by discretizing the action sets of the control model, we can construct a finite state and action space Markov decision process that approximates M and that can be solved explicitly. We can derive bounds on the approximation error of the optimal discounted cost function; such bounds are written in terms of Wasserstein and Hausdorff distances. We show a numerical application to a queueing problem. | |
| dc.language.iso | en | |
| dc.publisher | Springer | |
| dc.source.title | Modeling, Stochastic Control, Optimization, and Applications | |
| dc.title.en | Numerical Approximations for Discounted Continuous Time Markov Decision Processes | |
| dc.type | Chapitre d'ouvrage | |
| dc.identifier.doi | 10.1007/978-3-030-25498-8_7 | |
| dc.subject.hal | Mathématiques [math]/Optimisation et contrôle [math.OC] | |
| bordeaux.page | 147-171 | |
| bordeaux.hal.laboratories | Institut de Mathématiques de Bordeaux (IMB) - UMR 5251 | * |
| bordeaux.institution | Université de Bordeaux | |
| bordeaux.institution | Bordeaux INP | |
| bordeaux.institution | CNRS | |
| bordeaux.title.proceeding | Modeling, Stochastic Control, Optimization, and Applications | |
| hal.identifier | hal-02414376 | |
| hal.version | 1 | |
| hal.popular | non | |
| hal.audience | Internationale | |
| hal.origin.link | https://hal.archives-ouvertes.fr//hal-02414376v1 | |
| bordeaux.COinS | ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.btitle=Modeling,%20Stochastic%20Control,%20Optimization,%20and%20Applications&rft.date=2019-07-17&rft.spage=147-171&rft.epage=147-171&rft.au=DUFOUR,%20Fran%C3%A7ois&PRIETO-RUMEAU,%20Tom%C3%A1s&rft.genre=unknown |
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