ANZIAM J.
43 (2002), 541-557
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Denumerable state continuous time Markov decision processes with unbounded cost and transition rates under average criterion
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Xianping Guo
Department of Mathematics
Zhongshan University
P. R. China
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and
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Weiping Zhu
School of Computer Science
ADFA
The University of New South Wales
Canberra ACT 2600
Australia
weiping@cs.adfa.edu.au
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Abstract
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In this paper, we consider denumerable state
continuous time Markov decision processes with
(possibly unbounded) transition and cost rates
under average criterion. We present a set of
conditions and prove the existence of both
average cost optimal stationary policies and a
solution of the average optimality equation under
the conditions. The results in this paper are
applied to an admission control queue model and
controlled birth and death processes.
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