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Semi-Markov control processes with unknown holding times distribution under a discounted criterion

Author

Listed:
  • Fernando Luque-Vásquez
  • J. Minjárez-Sosa

Abstract

The paper deals with a class of semi-Markov control models with Borel state and control spaces, possibly unbounded costs, and unknown holding times distribution H. Assuming that H does not depend on state-action pairs, we combine suitable methods of statistical estimation of H with control procedures to construct an asymptotically discounted optimal policy [InlineMediaObject not available: see fulltext.] and an optimal stationary policy { f ∞ }, where f n converges to f ∞ in the sense of Schäl [12]. Copyright Springer-Verlag 2005

Suggested Citation

  • Fernando Luque-Vásquez & J. Minjárez-Sosa, 2005. "Semi-Markov control processes with unknown holding times distribution under a discounted criterion," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 61(3), pages 455-468, July.
    • Handle: RePEc:spr:mathme:v:61:y:2005:i:3:p:455-468
    DOI: 10.1007/s001860400406
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    Cited by:

    1. Huang, Yonghui & Guo, Xianping, 2011. "Finite horizon semi-Markov decision processes with application to maintenance systems," European Journal of Operational Research, Elsevier, vol. 212(1), pages 131-140, July.

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