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Séminaire Fondation HEC Montréal

Truncation and smoothing approximations for Markov Decision Processes with unbounded rates


4 oct. 2017   11h00 — 12h00

Alain Jean-Marie Centre de Recherche de Sophia-Antipolis Méditerranée, INRIA, France

The analysis of Markov Decision Processes (MDPs) often involves the proof that a threshold policy is optimal. The "structured value iteration" technique, described in e.g. the book of Puterman, allows to do this. When continuous-time MDPs have unbounded transition rates, they cannot be uniformized and this technique cannot be applied anymore. In this talk, we explain how recent results from Guo and Hernández-Lerma, and Blok and Spieksma, allow to handle this situation. As an illustration, we apply their truncation and smoothing technique to the optimal control of a single-server queueing system.

Entrée gratuite.
Bienvenue à tous!

Georges Zaccour responsable


Salle 4488
Pavillon André-Aisenstadt
Campus de l'Université de Montréal
2920, chemin de la Tour Montréal QC H3T 1J4 Canada

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