Abstract
In this chapter, we show that solving an (unconstrained or constrained) optimal control problem for the model with total expected cost is equivalent to solving the control problem for the corresponding Discrete-Time Markov Decision Process (DTMDP). After that, we use the known facts for DTMDP models to obtain the corresponding results for CTMDP models. The necessary information about DTMDPs is in Appendix C. We do not assume that the controlled process \(X(\cdot )\) is non-explosive.
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Piunovskiy, A., Zhang, Y. (2020). Reduction to DTMDP: The Total Cost Model. In: Continuous-Time Markov Decision Processes. Probability Theory and Stochastic Modelling, vol 97. Springer, Cham. https://doi.org/10.1007/978-3-030-54987-9_4
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DOI: https://doi.org/10.1007/978-3-030-54987-9_4
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Publisher Name: Springer, Cham
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Online ISBN: 978-3-030-54987-9
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