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 -