Accession Number:

ADA029337

Title:

An Equivalence between Continuous and Discrete Time Markov Decision Processes.

Descriptive Note:

Interim rept.,

Corporate Author:

SYRACUSE UNIV N Y DEPT OF INDUSTRIAL ENGINEERING AND OPERATIONS RESEARCH

Personal Author(s):

Report Date:

1976-06-01

Pagination or Media Count:

20.0

Abstract:

A continuous time Markov decision process with bounded sojourn parameters the parameters of the exponential sojourn times in the states is shown to be equivalent to a simpler discrete time Markov decision process. This is for both the discounted and average cost criteria on an infinite horizon. This result follows from 1 an equivalence of certain functionals of equivalent Markov processes, and 2 the property that a continuous time jump Markov process with bounded sojourn parameters is equal in distribution to a similar Markov process whose sojourn parameters are all the same. Author

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE