Applied Mathematics and Optimization, Vol.66, No.2, 257-271, 2012
Optimal Control of Markov Processes with Age-Dependent Transition Rates
We study optimal control of Markov processes with age-dependent transition rates. The control policy is chosen continuously over time based on the state of the process and its age. We study infinite horizon discounted cost and infinite horizon average cost problems. Our approach is via the construction of an equivalent semi-Markov decision process. We characterise the value function and optimal controls for both discounted and average cost cases.
Keywords:Age-dependent transition rates;Semi-Markov decision process;Infinite horizon discounted cost;Infinite horizon average cost