The Laurent series, sensitive discount and Blackwell optimality for continuous-time controlled Markov chains

The Laurent series, sensitive discount and Blackwell optimality for continuous-time controlled Markov chains

This paper gives conditions for the convergence of the Laurent series expansion for a class of continuous-time controlled Markov chains with possibly unbounded reward (or cost) rates and unbounded transition rates. That series is then used to study several optimization criteria, including n -discoun...

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Veröffentlicht in:Mathematical methods of operations research (Heidelberg, Germany) Germany), 2005-03, Vol.61 (1), p.123-145
Hauptverfasser: Prieto-Rumeau, Tom s, Hern ndez-Lerma, On simo
Format: Artikel
Sprache:eng
Schlagworte:
Markov analysis
Operations research
Optimization
Studies
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Zusammenfassung:This paper gives conditions for the convergence of the Laurent series expansion for a class of continuous-time controlled Markov chains with possibly unbounded reward (or cost) rates and unbounded transition rates. That series is then used to study several optimization criteria, including n -discount optimality (for n =-1,0,1,...), Blackwell optimality, and the maximization of a certain vector criterion that in particular gives gain and bias optimality. [PUBLICATION ABSTRACT]
ISSN:1432-2994
1432-5217
DOI:10.1007/s001860400393