Bias Optimality for Continuous-Time Controlled Markov Chains

Authors:
Tomás Prieto-Rumeau;Onésimo Hernández-Lerma
Affiliations:
-;-
Venue:
SIAM Journal on Control and Optimization
Year:
2006

Citing 0
Cited 3

Continuous-time Markov decision processes with nth-bias optimality criteria

Automatica (Journal of IFAC)
Average Continuous Control of Piecewise Deterministic Markov Processes

SIAM Journal on Control and Optimization
Bias optimality for multichain continuous-time Markov decision processes

Operations Research Letters

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Abstract

In this paper we give conditions for the existence of bias optimal policies in a class of continuous-time controlled Markov chains with unbounded reward and transition rates. Several characterizations of bias optimality are proposed. We also introduce new sets of conditions ensuring uniform exponential ergodicity of continuous-time controlled Markov chains.