화학공학소재연구정보센터
IEEE Transactions on Automatic Control, Vol.52, No.6, 1139-1143, 2007
Constrained optimization for average cost continuous-time markov decision processes
To the best of our knowledge, this note is a first study on a multiconstrained optimization problem for average cost continuous-time Markov decision processes in Polish spaces. The optimality criterion is the long-run expected average cost, and the constraints are imposed on similar average costs. We give suitable conditions under which the existence of a constrained optimal stationary policy is shown by introducing occupation measures and using a martingale technique. Also, we illustrate our conditions with controlled Potlach processes.