Optimality of Mixed Policies for Average Continuous-Time Markov Decision Processes with Constraints

• 成果类型: Article
• 署名作者: Guo, Xianping; Zhang, Yi
• 署名单位: Sun Yat Sen University; University of Liverpool
• 刊物名称: MATHEMATICS OF OPERATIONS RESEARCH
• ISSN/ISSBN: 0364-765X
• DOI: 10.1287/moor.2015.0777
• 发表日期: 2016
• 页码: 1276-1296
• 关键词: ergodic control; STABILITY; chains

摘要

This article concerns the average criteria for continuous-time Markov decision processes with N constraints. We show the following; (a) every extreme point of the space of performance vectors corresponding to the set of stable measures is generated by a deterministic stationary policy; and (b) there exists a mixed optimal policy, where the mixture is over no more than N + 1 deterministic stationary policies.