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Variance minimization for continuous-time Markov decision processes: two approaches
  • ISSN号：1005-1031
  • 期刊名称：Applied Mathematics-A Journal of Chinese Universit
  • 时间：0
  • 页码：400-410
  • 语言：英文
  • 分类：O211.62[理学—概率论与数理统计;理学—数学] TP273.2[自动化与计算机技术—控制科学与工程;自动化与计算机技术—检测技术与自动化装置]
  • 作者机构：[1]Department of Mathematics, Ningbo University, Ningbo 315211, China
  • 相关基金：This work was jointly supported by the National Natural Science Foundation of China （10801056）, the Natural Science Foundation of Ningbo （2010A610094） and K.C. Wong Magna Fund in Ningbo University.
  • 相关项目：随机过程的最优控制、稳定性理论及其应用研究
作者： 朱全新|
关键词： 最小方差, 连续时间, 马氏决策过程, 最小化, 马尔可夫决策过程, 解的存在性, 最优不等式, 空间变异, Continuous-time Markov decision process, Polish space, variance minimization, optimality equation, optimality inequality.
中文摘要：

这篇论文在波兰的空格为连续时间的 Markov 决定过程学习限制一般水准变化标准。把途径基于二，这份报纸证明变化最小化 optimality 方程的答案的不仅存在和一个变化的存在正规的最小的政策，而且二变化最小化 optimality 不平等的答案的存在和一个变化的存在不能正规的最小的政策。一个例子被给我们的条件说明所有。

英文摘要：

This paper studies the limit average variance criterion for continuous-time Markov decision processes in Polish spaces. Based on two approaches, this paper proves not only the existence of solutions to the variance minimization optimality equation and the existence of a variance minimal policy that is canonical, but also the existence of solutions to the two variance minimization optimality inequalities and the existence of a variance minimal policy which may not be canonical. An example is given to illustrate all of our conditions.

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随机过程的最优控制、稳定性理论及其应用研究
期刊论文 56 会议论文 4
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期刊信息
  • 《高校应用数学学报：英文版（B辑）》
  • 主管单位:教育部
  • 主办单位:浙江大学 中国工业与应用数学学会
  • 主编：林正炎 李大潜
  • 地址：杭州玉泉浙江大学数学系
  • 邮编：310027
  • 邮箱：amjcu B@eju.edu.cn
  • 电话：0571-87951602
  • 国际标准刊号：ISSN：1005-1031
  • 国内统一刊号：ISSN：33-1171/O
  • 邮发代号:
  • 获奖情况:
  • 国内外数据库收录:
  • 美国数学评论（网络版）,德国数学文摘,荷兰文摘与引文数据库,美国科学引文索引（扩展库）
  • 被引量:26