Bayesian estimation of the mean holding time in average semi-Markov control processes
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
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
Affiliations des auteurs :
J. Adolfo Minjárez-Sosa 1 ; José A. Montoya 1
@article{10_4064_am42_2_7,
author = {J. Adolfo Minj\'arez-Sosa and Jos\'e A. Montoya},
title = {Bayesian estimation of the mean holding time in average {semi-Markov} control processes},
journal = {Applicationes Mathematicae},
pages = {205--218},
year = {2015},
volume = {42},
number = {2-3},
doi = {10.4064/am42-2-7},
zbl = {1336.60173},
language = {en},
url = {http://geodesic.mathdoc.fr/articles/10.4064/am42-2-7/}
}
TY - JOUR AU - J. Adolfo Minjárez-Sosa AU - José A. Montoya TI - Bayesian estimation of the mean holding time in average semi-Markov control processes JO - Applicationes Mathematicae PY - 2015 SP - 205 EP - 218 VL - 42 IS - 2-3 UR - http://geodesic.mathdoc.fr/articles/10.4064/am42-2-7/ DO - 10.4064/am42-2-7 LA - en ID - 10_4064_am42_2_7 ER -
%0 Journal Article %A J. Adolfo Minjárez-Sosa %A José A. Montoya %T Bayesian estimation of the mean holding time in average semi-Markov control processes %J Applicationes Mathematicae %D 2015 %P 205-218 %V 42 %N 2-3 %U http://geodesic.mathdoc.fr/articles/10.4064/am42-2-7/ %R 10.4064/am42-2-7 %G en %F 10_4064_am42_2_7
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
Cité par Sources :