A useful technique for piecewise deterministic Markov decision processes

Xin Guo; Yi Zhang

doi:10.1016/j.orl.2020.11.002

A useful technique for piecewise deterministic Markov decision processes

Xin Guo, Yi Zhang

Mathematics

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Abstract

This note presents a technique that is useful for the study of piecewise deterministic Markov decision processes (PDMDPs) with general policies and unbounded transition intensities. This technique produces an auxiliary PDMDP from the original one. The auxiliary PDMDP possesses certain desired properties, which may not be possessed by the original PDMDP. We apply this technique to risk-sensitive PDMDPs with total cost criteria, and comment on its connection with the uniformization technique.

Original language	English
Pages (from-to)	55-61
Number of pages	7
Journal	Operations Research Letters
Volume	49
Issue number	1
Early online date	9 Nov 2020
DOIs	https://doi.org/10.1016/j.orl.2020.11.002
Publication status	Published - Jan 2021

Keywords

Continuous-time Markov decision processes
Piecewise deterministic Markov decision processes
Unbounded transition intensities

ASJC Scopus subject areas

Software
Management Science and Operations Research
Industrial and Manufacturing Engineering
Applied Mathematics

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GuoX2020usefulAccepted author manuscript, 308 KBLicence: Creative Commons: Attribution-NonCommercial-NoDerivs (CC BY-NC-ND)

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KW - Continuous-time Markov decision processes

KW - Piecewise deterministic Markov decision processes

KW - Unbounded transition intensities

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A useful technique for piecewise deterministic Markov decision processes

Abstract

Keywords

ASJC Scopus subject areas

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