Control-limit policies for a class of stopping time problems with termination restrictions

@article{Xia2015ControllimitPF,
  title={Control-limit policies for a class of stopping time problems with termination restrictions},
  author={Yan Xia and Murat Kurt},
  journal={Optimization Letters},
  year={2015},
  volume={9},
  pages={1315-1329}
}
Abstract We consider a class of stopping time problems in which the state of the process evolves according to a discrete-time Markov chain and the action which terminates the process is available only in a certain subset of the state space. For the objective of maximizing total expected discounted reward we develop an infinite-horizon Markov decision process formulation and derive two families of sufficient conditions under which the optimal policy exhibits a control-limit structure. We present… CONTINUE READING