Impulsive Control for Continuous-Time Markov Decision Processes: A Linear Programming Approach
Impulsive Control for Continuous-Time Markov Decision Processes: A Linear Programming Approach
复制标题
DOI：
10.1007/s00245-015-9310-8
复制
发表时间：
2014-02
影响因子：
1.8
通讯作者：
F. Dufour;Alexei B. Piunovskiy
中科院分区：
文献类型：
--
作者：
F. Dufour;Alexei B. Piunovskiy
本文研究了具有脉冲控制和连续控制的连续时间马氏决策过程的最优化问题。我们考虑所谓的约束问题，其中控制器的目标是最小化与成本率函数相关的总期望折扣最优性准则，同时保持其他相同形式的性能准则，但与不同的成本率函数，低于一些给定的界限。我们的模型允许在同一时刻有多个脉冲。这项工作的主要目标是研究相关的线性规划定义的措施，包括占领措施的控制过程的空间，并提供充分的条件，以确保最优控制的存在。
In this paper, we investigate an optimization problem for continuous-time Markov decision processes with both impulsive and continuous controls. We consider the so-called constrained problem where the objective of the controller is to minimize a total expected discounted optimality criterion associated with a cost rate function while keeping other performance criteria of the same form, but associated with different cost rate functions, below some given bounds. Our model allows multiple impulses at the same time moment. The main objective of this work is to study the associated linear program defined on a space of measures including the occupation measures of the controlled process and to provide sufficient conditions to ensure the existence of an optimal control.