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SCS

Seminar

Discounted continuous-time Markov decision process with constraints: unbounded transition and loss rate

Piunovskiy, A (Liverpool)
Thursday 03 June 2010, 16:30-17:30

Seminar Room 1, Newton Institute

Abstract

It is known that the convex analytic approach is effective for solving constrained problems for discrete-time MDP. If the transition rate of a continuous-time model is bounded, then one can use the uniformization technique, but if that is unbounded, one has to investigate the occupation measures and linear programs from scratch. In this report, we present the main properties of the space of occupation measures, study the linear program thereon, and consider several examples.

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