TY - JOUR
T1 - Exponential convergence in undiscounted continuous-time Markov decision chains
AU - Zijm, W.H.M.
PY - 1987
Y1 - 1987
N2 - In this paper, we analyze the asymptotic behaviour of the value function v(t) of an undiscounted continuous-time Markov decision chain. Both the state space and the action space are assumed to be finite. A new proof of the convergence of v(t) - tg is presented (where g denotes the maximal expected average reward over an infinite time horizon). Moreover, it is shown that this convergence is exponential.
AB - In this paper, we analyze the asymptotic behaviour of the value function v(t) of an undiscounted continuous-time Markov decision chain. Both the state space and the action space are assumed to be finite. A new proof of the convergence of v(t) - tg is presented (where g denotes the maximal expected average reward over an infinite time horizon). Moreover, it is shown that this convergence is exponential.
UR - http://www.jstor.org/stable/3689925
U2 - 10.1287/moor.12.4.700
DO - 10.1287/moor.12.4.700
M3 - Article
SN - 0364-765X
VL - 12
SP - 700
EP - 717
JO - Mathematics of Operations Research
JF - Mathematics of Operations Research
IS - 4
ER -