An Equivalence between Continuous and Discrete Time Markov Decision Processes.
SYRACUSE UNIV N Y DEPT OF INDUSTRIAL ENGINEERING AND OPERATIONS RESEARCH
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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
- Statistics and Probability