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Continuous time control of Markov processes on an arbitrary state space: Average return criterion

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  • Doshi, Bharat T.

Abstract

The paper deals with continuous time Markov decision processes on a fairly general state space. The economic criterion is the long-run average return. A set of conditions is shown to be sufficient for a constant g to be optimal average return and a stationary policy [pi]* to be optimal. This condition is shown to be satisfied under appropriate assumptions on the optimal discounted return function. A policy improvement algorithm is proposed and its convergence to an optimal policy is proved.

Suggested Citation

  • Doshi, Bharat T., 1976. "Continuous time control of Markov processes on an arbitrary state space: Average return criterion," Stochastic Processes and their Applications, Elsevier, vol. 4(1), pages 55-77, January.
    • Handle: RePEc:eee:spapps:v:4:y:1976:i:1:p:55-77
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    Cited by:

    1. Xianping Guo, 2007. "Continuous-Time Markov Decision Processes with Discounted Rewards: The Case of Polish Spaces," Mathematics of Operations Research, INFORMS, vol. 32(1), pages 73-87, February.
    2. Liuer Ye & Xianping Guo, 2010. "New sufficient conditions for average optimality in continuous-time Markov decision processes," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 72(1), pages 75-94, August.

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