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Ergodic control of continuous-time Markov chains with pathwise constraints

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2 Author(s)
Prieto-Rumeau, T. ; Dept. of Stat., UNED, Madrid, Spain ; Hernandez-Lerma, O.

We deal with unichain ergodic continuous-time controlled Markov chains with a denumerable state space, and unbounded reward and transition rates. We are concerned with finding control policies that maximize a sample-path average reward over the family of policies for which a certain pathwise average cost is below a given value with probability one. We illustrate our results with examples on the control of a queueing system and an epidemic process.

Published in:

Decision and Control, 2009 held jointly with the 2009 28th Chinese Control Conference. CDC/CCC 2009. Proceedings of the 48th IEEE Conference on

Date of Conference:

15-18 Dec. 2009