自动化学报2003，Vol.29Issue(2)：206-211,6.
连续时间MCP在紧致行动集上的最优策略
Optimal Policies for a Continuous Time MCP with Compact Action Set
摘要
Abstract
In this paper, we study optimal policies for a class of continuous-time Markov control processes (CTMCPs) with infinite horizon average-cost criteria. Using the basic properties of infinitesimal generators and performance potentials, we give directly the optimality equation and establish the existence of solutions to this equation for the average-cost model on a compact action set. A fast value iteration algorithm, which leads to an ε-optimal stationary policy, is proposed and the convergence of this algorithm is studied. Finally, we provide one numerical example to show applications of the proposed method.关键词
性能势/平均代价准则/紧致行动集/数值迭代Key words
Performance potentials/average-cost criteria/compact action set/value iteration分类
信息技术与安全科学引用本文复制引用
奚宏生,唐昊,殷保群..连续时间MCP在紧致行动集上的最优策略[J].自动化学报,2003,29(2):206-211,6.基金项目
Supported by National Natural Science Foundation of P.R. China (69974037) and National High Performance Computing Foundation of P.R. China(00208) （69974037）
