Bayesian estimation of the mean holding time in average semi-Markov control processes

• Autorzy: J. Adolfo Minjárez-Sosa , José A. Montoya
• Języki publikacji: EN

Abstrakty

EN

We consider semi-Markov control models with Borel state and action spaces, possibly unbounded costs, and holding times with a generalized exponential distribution with unknown mean θ. Assuming that such a distribution does not depend on the state-action pairs, we introduce a Bayesian estimation procedure for θ, which combined with a variant of the vanishing discount factor approach yields average cost optimal policies.

Kategorie tematyczne

• 90C40: Markov and semi-Markov decision processes
• 93E10: Estimation and detection

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Applicationes Mathematicae
• Rocznik: 2015
• Tom: 42
• Numer: 2-3
• Strony: 205-218

Daty

wydano

2015

Twórcy

autor

J. Adolfo Minjárez-Sosa

• Departamento de Matemáticas, Universidad de Sonora, Rosales s/n, Col. Centro, 83000 Hermosillo, Sonora, Mexico

autor

José A. Montoya

• Departamento de Matemáticas, Universidad de Sonora, Rosales s/n, Col. Centro, 83000 Hermosillo, Sonora, Mexico

Identyfikatory

DOI

10.4064/am42-2-7