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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...
This paper deals with continuous-time Markov decision processes in Polish spaces, under a discounted expected reward criterion. We first give conditions under which we ensure the existence of optimal stationary policies by using the technique of extended infinitesimal operators, and also provide a recursive way to compute (or at least to approximate) the optimal reward values. Finally, we use controlled...
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