Multiconstrained Finite-Horizon Piecewise Deterministic Markov Decision Processes with Unbounded Transition Rates
成果类型：
Article
署名作者：
Huang, Yonghui; Guo, Xianping
署名单位：
Sun Yat Sen University
刊物名称：
MATHEMATICS OF OPERATIONS RESEARCH
ISSN/ISSBN：
0364-765X
DOI：
10.1287/moor.2019.1005
发表日期：
2020
页码：
641-659
关键词：
摘要：
This paper studies a multiconstrained problem for piecewise deterministic Markov decision processes (PDMDPs) with unbounded cost and transition rates. The goal is to minimize one type of expected finite-horizon cost over history-dependent policies while keeping some other types of expected finite-horizon costs lower than some tolerable bounds. Using the Dynkin formula for the PDMDPs, we obtain an equivalent characterization of occupancy measures and express the expected finite-horizon costs in terms of occupancy measures. Under suitable assumptions, the existence of constrained-optimal policies is shown, the linear programming formulation and its dual program for the constrained problem are derived, and the strong duality between the two programs is established. An example is provided to demonstrate our results.
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