Continuous-Time Markov Decision Problems with Binary State

Q3 Mathematics

WSEAS Transactions on Mathematics Pub Date : 2023-02-16 DOI:10.37394/23206.2023.22.17

Chiara Brambilla, L. Grosset, E. Sartori

引用次数: 0

Abstract

We analyse a binary state continuous-time Markov decision problem. The standard Hamilton–Jacobi– Bellman equation is introduced and, with suitable assumptions on the probability rate and on the cost function, it can be replaced by a simpler backward differential equation. Through a numerical example, we show how to find an optimal feedback control using the results presented in this paper.

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具有二元状态的连续时间马尔可夫决策问题

我们分析了一个二元状态连续时间马尔可夫决策问题。引入标准的Hamilton-Jacobi - Bellman方程，通过对概率率和代价函数的适当假设，可以用一个更简单的倒向微分方程代替它。通过一个数值算例，说明如何利用本文的结果找到最优反馈控制。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

WSEAS Transactions on Mathematics Mathematics-Discrete Mathematics and Combinatorics

CiteScore

1.30

自引率

0.00%

发文量

期刊介绍： WSEAS Transactions on Mathematics publishes original research papers relating to applied and theoretical mathematics. We aim to bring important work to a wide international audience and therefore only publish papers of exceptional scientific value that advance our understanding of these particular areas. The research presented must transcend the limits of case studies, while both experimental and theoretical studies are accepted. It is a multi-disciplinary journal and therefore its content mirrors the diverse interests and approaches of scholars involved with linear algebra, numerical analysis, differential equations, statistics and related areas. We also welcome scholarly contributions from officials with government agencies, international agencies, and non-governmental organizations.