Markov Decision Problems with Unbounded Transition Rates under Discounted-Cost Performance Criteria

摘要

We discuss the problems of discounted-cost performance optimization for a class of countable Markov control processes (CMCP) with (possibly) unbounded transition rates. The discounted Poisson equation is proposed for a CMCP, from which α -potential is defined. The optimality equation based on the α -potential is derived under the conditions weaker than those previously known.