Computable approximations for average Markov decision processes in continuous time
hal.structure.identifier | Quality control and dynamic reliability [CQFD] | |
dc.contributor.author | ANSELMI, Jonatha | |
hal.structure.identifier | Institut Polytechnique de Bordeaux [Bordeaux INP] | |
hal.structure.identifier | Quality control and dynamic reliability [CQFD] | |
dc.contributor.author | DUFOUR, François | |
hal.structure.identifier | Universidad Nacional de Educación a Distancia [UNED] | |
dc.contributor.author | PRIETO-RUMEAU, Tomás | |
dc.date.accessioned | 2024-04-04T03:03:27Z | |
dc.date.available | 2024-04-04T03:03:27Z | |
dc.date.issued | 2018-06 | |
dc.identifier.issn | 0021-9002 | |
dc.identifier.uri | https://oskar-bordeaux.fr/handle/20.500.12278/193073 | |
dc.description.abstractEn | In this paper we study the numerical approximation of the optimal long-run average cost of a continuous-time Markov decision process, with Borel state and action spaces, and with bounded transition and reward rates. Our approach uses a suitable discretization of the state and action spaces to approximate the original control model. The approximation error for the optimal average reward is then bounded by a linear combination of coefficients related to the discretization of the state and action spaces, namely, the Wasserstein distance between an underlying probability measure μ and a measure with finite support, and the Hausdorff distance between the original and the discretized actions sets. When approximating μ with its empirical probability measure we obtain convergence in probability at an exponential rate. An application to a queueing system is presented. | |
dc.language.iso | en | |
dc.publisher | Cambridge University press | |
dc.subject.en | Continuous-time Markov decision process | |
dc.subject.en | Lipschitz continuous control model | |
dc.subject.en | Approximation of the optimal value function | |
dc.title.en | Computable approximations for average Markov decision processes in continuous time | |
dc.type | Article de revue | |
dc.identifier.doi | 10.1017/jpr.2018.36 | |
dc.subject.hal | Mathématiques [math] | |
bordeaux.journal | Journal of Applied Probability | |
bordeaux.page | 571-592 | |
bordeaux.volume | 55 | |
bordeaux.hal.laboratories | Institut de Mathématiques de Bordeaux (IMB) - UMR 5251 | * |
bordeaux.issue | 02 | |
bordeaux.institution | Université de Bordeaux | |
bordeaux.institution | Bordeaux INP | |
bordeaux.institution | CNRS | |
bordeaux.peerReviewed | oui | |
hal.identifier | hal-01949945 | |
hal.version | 1 | |
hal.popular | non | |
hal.audience | Internationale | |
hal.origin.link | https://hal.archives-ouvertes.fr//hal-01949945v1 | |
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