Optimal decisions for continuous time Markov decision processes overn finite planning horizons

摘要

The computation of epsilon-optimal policies for continuous time Markov decision processes (CTMDPs) over finite time intervals is a sophisticated problem because the optimal policy may change at arbitrary times. Numerical algorithms based on time discretization or uniformization have been proposed for the computation of optimal policies. The uniformization based algorithm has shown to be more reliable and often also more efficient but is currently only available for processes where the gain or re