Average optimality for continuous-time Markov decision processes in Polish spaces

@inproceedings{Guo2006AverageOF,
  title={Average optimality for continuous-time Markov decision processes in Polish spaces},
  author={Xianping Guo and Ulrich Rieder},
  year={2006}
}
This paper is devoted to studying the average optimality in continuous-time Markov decision processes with fairly general state and action spaces. The criterion to be maximized is expected average rewards. The transition rates of underlying continuous-time jump Markov processes are allowed to be unbounded, and the reward rates may have neither upper nor lower bounds. We first provide two optimality inequalities with opposed directions, and also give suitable conditions under which the existence… CONTINUE READING

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