Optimality in Feller semi-Markov control processes

Optimality in Feller semi-Markov control processes

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Article ID: iaor20073064
Country: Netherlands
Volume: 34
Issue: 6
Start Page Number: 713
End Page Number: 718
Publication Date: Nov 2006
Journal: Operations Research Letters
Authors: ,
Abstract:

Semi-Markov control processes with Borel state space and Feller transition probabilities are considered. The objective of the paper is to prove coincidence of two expected average costs: the time-average and the ratio-average for stationary policies. Moreover, the optimal stationary policy is the same for both criteria.

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