Continuous Time Control of Markov Processes on an Arbitrary State Space: Discounted Rewards
The Annals of Statistics · 1976 · Volume 4 · Issue 6
Abstract
The paper deals with continuous time Markov decision processes on a fairly general state space. The rewards are continuously discounted at rate $\alpha > 0$. A set of conditions is shown to be necessary and sufficient for a policy to be optimal. For the special case of time independent reward function and under the assumption that the action space is finite a policy improvement algorithm is proposed and its convergence to an optimal policy is proved.
Keywords
49C15, 60K99, Continuous time Markov decision processes, optimal discounted return function, optimal policy
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