WSEAS Transactions on Mathematics
Print ISSN: 1109-2769, E-ISSN: 2224-2880
Volume 22, 2023
Continuous-Time Markov Decision Problems with Binary State
Authors: , ,
Abstract: We analyse a binary state continuous-time Markov decision problem. The standard Hamilton–Jacobi– Bellman equation is introduced and, with suitable assumptions on the probability rate and on the cost function, it can be replaced by a simpler backward differential equation. Through a numerical example, we show how to find an optimal feedback control using the results presented in this paper.