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.
- Continuous-time Markov decision processes
- Piecewise deterministic Markov decision processes
- Unbounded transition intensities
ASJC Scopus subject areas
- Management Science and Operations Research
- Industrial and Manufacturing Engineering
- Applied Mathematics