Discounted Continuous Time Markov Decision Processes: The Convex Analytic Approach
Abstract
The convex analytic approach which is dual, in some sense, to dynamic programming, is useful for the investigation of multicriteria control problems. It is well known for discrete time models, and the current paper presents similar results for the continuous time case. Namely, we define and study the space of occupation measures, and apply the abstract convex analysis to the study of constrained problems. Finally, we briefly consider a meaningful example on a controlled bicriteria Markovian queue.
