Abstract
In this paper we consider a gradual-impulsive control problem for continuous-time Markov decision processes (CTMDPs) with total cost criteria and constraints. We develop a simple and useful method, which reduces the concerned problem to a standard CTMDP problem with gradual control only. This allows us to derive straightforwardly and under a minimal set of conditions the optimality results (sufficient classes of control policies, as well as the existence of stationary optimal policies) for the original constrained gradual-impulsive control problem.
| Original language | English |
|---|---|
| Pages (from-to) | 192-214 |
| Number of pages | 23 |
| Journal | SIAM Journal on Control and Optimization |
| Volume | 58 |
| Issue number | 1 |
| DOIs | |
| Publication status | Published - 2020 |
Bibliographical note
Funding Information:∗Received by the editors March 6, 2019; accepted for publication (in revised form) October 14, 2019; published electronically January 16, 2020. https://doi.org/10.1137/19M1248303 Funding: This work was partially supported by the Royal Society, grant IE160503. †Department of Mathematical Sciences, University of Liverpool, Liverpool, L69 7ZL, UK ([email protected]). ‡Corresponding author. Department of Mathematical Sciences, University of Liverpool, Liverpool, L69 7ZL, UK ([email protected]).
Publisher Copyright:
© 2020 Society for Industrial and Applied Mathematics.
ASJC Scopus subject areas
- Control and Optimization
- Applied Mathematics