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 | |
| bordeaux.COinS | ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Journal%20of%20Applied%20Probability&rft.date=2018-06&rft.volume=55&rft.issue=02&rft.spage=571-592&rft.epage=571-592&rft.eissn=0021-9002&rft.issn=0021-9002&rft.au=ANSELMI,%20Jonatha&DUFOUR,%20Fran%C3%A7ois&PRIETO-RUMEAU,%20Tom%C3%A1s&rft.genre=article |
Fichier(s) constituant ce document
| Fichiers | Taille | Format | Vue |
|---|---|---|---|
|
Il n'y a pas de fichiers associés à ce document. |
|||