360 research outputs found
Compactness of the space of non-randomized policies in countable-state sequential decision processes
Existence of optimal delay-dependent control for finite-horizon continuous-time Markov decision process
This paper intends to study the optimal control problem for the
continuous-time Markov decision process with denumerable states and compact
action space. The admissible controls depend not only on the current state of
the jumping process but also on its history. By the compactification method, we
show the existence of an optimal delay-dependent control under some explicit
conditions, and further establish the dynamic programming principle. Moreover,
we show that the value function is the unique viscosity solution of certain
Hamilton-Jacobi-Bellman equation which does not depend on the delay-dependent
control policies. Consequently, under our explicit conditions, there is no
impact on the value function to make decision depending on or not on the
history of the jumping process.Comment: 22 page
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