A linear programming formulation for constrained discounted continuous control for piecewise deterministic Markov processes

Abstract : This paper deals with the constrained discounted control of piecewise deterministic Markov process (PDMPs) in general Borel spaces. The control variable acts on the jump rate and transition measure, and the goal is to minimize the total expected discounted cost, composed of positive running and boundary costs, while satisfying some constraints also in this form. The basic idea is, by using the special features of the PDMPs, to re-write the problem via an embedded discrete-time Markov chain associated to the PDMP and re-formulate the problem as an infinite dimensional linear programming (LP) problem, via the occupation measures associated to the discrete-time process. It is important to stress however that our new discrete-time problem is not in the same framework of a general constrained discrete-time Markov Decision Process and, due to that, some conditions are required to get the equivalence between the continuous-time problem and the LP formulation. We provide in the sequel sufficient conditions for the solvability of the associated LP problem, based on a generalization of Theorem 4.1 in [8]. In Appendix A we present the proof of this generalization which, we believe, is of interest on its own. The paper is concluded with some examples to illustrate the obtained results.
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Submitted on : Friday, December 18, 2015 - 11:36:38 AM
Last modification on : Tuesday, December 18, 2018 - 10:56:29 AM

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Oswaldo Costa, Francois Dufour. A linear programming formulation for constrained discounted continuous control for piecewise deterministic Markov processes. Journal of Mathematical Analysis and Applications, Elsevier, 2015, 424 (2), pp.892-914. ⟨10.1016/j.jmaa.2014.11.036⟩. ⟨hal-01246215⟩

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