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Denumerable continuous-time Markov decision processes with multiconstraints on average costs

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  • Qiuli Liu
  • Hangsheng Tan
  • Xianping Guo

Abstract

This article deals with multiconstrained continuous-time Markov decision processes in a denumerable state space, with unbounded cost and transition rates. The criterion to be optimised is the long-run expected average cost, and several kinds of constraints are imposed on some associated costs. The existence of a constrained optimal policy is ensured under suitable conditions by using a martingale technique and introducing an occupation measure. Furthermore, for the unichain model, we transform this multiconstrained problem into an equivalent linear programming problem, then construct a constrained optimal policy from an optimal solution to the linear programming. Finally, we use an example of a controlled queueing system to illustrate an application of our results.

Suggested Citation

  • Qiuli Liu & Hangsheng Tan & Xianping Guo, 2011. "Denumerable continuous-time Markov decision processes with multiconstraints on average costs," International Journal of Systems Science, Taylor & Francis Journals, vol. 43(3), pages 576-585.
    • Handle: RePEc:taf:tsysxx:v:43:y:2011:i:3:p:576-585
    DOI: 10.1080/00207721.2010.517868
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