Controlled semi-markov models - the discounted case

Rabi N. Bhattacharya; Mukul Majumdar

doi:10.1016/0378-3758(89)90053-0

Controlled semi-markov models - the discounted case

Rabi N. Bhattacharya
, Mukul Majumdar

Research output: Contribution to journal › Article › peer-review

31 Scopus citations

Abstract

Let the state space S be a Borel subset of a complete separable metric space, the action space A compact metric. Existence of stationary optimal policies is proved for general semi-Markov models with possibly unbounded rewards. The corresponding dynamic programming equations are also derived. The paper presents a synthesis and extensions of earlier results.

Original language	English (US)
Pages (from-to)	365-381
Number of pages	17
Journal	Journal of Statistical Planning and Inference
Volume	21
Issue number	3
DOIs	https://doi.org/10.1016/0378-3758(89)90053-0
State	Published - Mar 1989
Externally published	Yes

Keywords

Stationary optimal policy
discounted reward
dynamic programming equation
invariant distribution

ASJC Scopus subject areas

Statistics and Probability
Statistics, Probability and Uncertainty
Applied Mathematics

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10.1016/0378-3758(89)90053-0

Cite this

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title = "Controlled semi-markov models - the discounted case",

abstract = "Let the state space S be a Borel subset of a complete separable metric space, the action space A compact metric. Existence of stationary optimal policies is proved for general semi-Markov models with possibly unbounded rewards. The corresponding dynamic programming equations are also derived. The paper presents a synthesis and extensions of earlier results.",

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author = "Bhattacharya, \{Rabi N.\} and Mukul Majumdar",

year = "1989",

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T1 - Controlled semi-markov models - the discounted case

AU - Bhattacharya, Rabi N.

AU - Majumdar, Mukul

PY - 1989/3

Y1 - 1989/3

N2 - Let the state space S be a Borel subset of a complete separable metric space, the action space A compact metric. Existence of stationary optimal policies is proved for general semi-Markov models with possibly unbounded rewards. The corresponding dynamic programming equations are also derived. The paper presents a synthesis and extensions of earlier results.

AB - Let the state space S be a Borel subset of a complete separable metric space, the action space A compact metric. Existence of stationary optimal policies is proved for general semi-Markov models with possibly unbounded rewards. The corresponding dynamic programming equations are also derived. The paper presents a synthesis and extensions of earlier results.

KW - Stationary optimal policy

KW - discounted reward

KW - dynamic programming equation

KW - invariant distribution

UR - https://www.scopus.com/pages/publications/38249026165

UR - https://www.scopus.com/pages/publications/38249026165#tab=citedBy

U2 - 10.1016/0378-3758(89)90053-0

DO - 10.1016/0378-3758(89)90053-0

M3 - Article

AN - SCOPUS:38249026165

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VL - 21

SP - 365

EP - 381

JO - Journal of Statistical Planning and Inference

JF - Journal of Statistical Planning and Inference

IS - 3

ER -

Controlled semi-markov models - the discounted case

Abstract

Keywords

ASJC Scopus subject areas

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