Geodesic
Bayesian estimation of the mean holding time in average semi-Markov control processes
J. Adolfo Minjárez-Sosa 1   ; José A. Montoya 1
1 Departamento de Matemáticas Universidad de Sonora Rosales s/n, Col. Centro, 83000 Hermosillo, Sonora, Mexico
Applicationes Mathematicae, Tome 42 (2015) no. 2-3, pp. 205-218 Cet article a éte moissonné depuis la source Institute of Mathematics Polish Academy of Sciences

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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 $\theta $. Assuming that such a distribution does not depend on the state-action pairs, we introduce a Bayesian estimation procedure for $\theta $, which combined with a variant of the vanishing discount factor approach yields average cost optimal policies.
DOI : 10.4064/am42-2-7
Keywords: consider semi markov control models borel state action spaces possibly unbounded costs holding times generalized exponential distribution unknown mean theta assuming distribution does depend state action pairs introduce bayesian estimation procedure theta which combined variant vanishing discount factor approach yields average cost optimal policies

J. Adolfo Minjárez-Sosa  1   ; José A. Montoya  1

1 Departamento de Matemáticas Universidad de Sonora Rosales s/n, Col. Centro, 83000 Hermosillo, Sonora, Mexico 
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J. Adolfo Minjárez-Sosa; José A. Montoya. Bayesian estimation of the mean holding time in average semi-Markov control processes. Applicationes Mathematicae, Tome 42 (2015) no. 2-3, pp. 205-218. doi: 10.4064/am42-2-7

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