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Discrete-time approximationsfor continuous-time Markoviancontrol systems

Published online by Cambridge University Press:  01 July 2016

A. Hordijk  and
F. A. Van Der Duyn Schouten
A. Hordijk
Affiliation:
University of Leiden
F. A. Van Der Duyn Schouten
Affiliation:
Free University of Amsterdam
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Extract

The method of discrete-time approximation is widespread in control and decision theory. However, little attention has been paid to the conditions on parameters and control under which the discrete-time systems come close to the continuous-time system.

Type
Applied Probability in Biology and Engineering. An ORSA/TIMS Special Interest Meeting
Information
Advances in Applied Probability , Volume 16 , Issue 1 , March 1984 , pp. 15 - 16
Copyright
Copyright © Applied Probability Trust 1984 

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References

Hordijk, A. and Van Der Duyn Schouten, F. A. (1983) Discretization and weak convergence in Markov decision drift processes. Math. Operat. Res. Google Scholar
Yeh, L. and Thomas, L. C. (1983) Adaptive control of M/M/l queues–continuous-time Markov decision process approach. J. Appl. Prob. 20, 368–379.Google Scholar