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CATEGORIES:Isaac Newton Institute Seminar Series
SUMMARY:Discounted continuous-time Markov decision process
with constraints: unbounded transition and loss r
ate - Piunovskiy\, A (Liverpool)
DTSTART;TZID=Europe/London:20100603T163000
DTEND;TZID=Europe/London:20100603T173000
UID:TALK25074AThttp://talks.cam.ac.uk
URL:http://talks.cam.ac.uk/talk/index/25074
DESCRIPTION:It is known that the convex analytic approach is e
ffective for solving constrained problems for disc
rete-time MDP. If the transition rate of a continu
ous-time model is bounded\, then one can use the u
niformization technique\, but if that is unbounded
\, one has to investigate the occupation measures
and linear programs from scratch. In this report\,
we present the main properties of the space of oc
cupation measures\, study the linear program there
on\, and consider several examples.
LOCATION:Seminar Room 1\, Newton Institute
CONTACT:Mustapha Amrani
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