Variance minimization and the overtaking optimality approach to continuous-time controlled Markov chains.
Tomás Prieto-RumeauOnésimo Hernández-LermaPublished in: Math. Methods Oper. Res. (2009)
Keyphrases
- markov chain
- steady state
- markov processes
- finite state
- state space
- transition probabilities
- markov process
- monte carlo
- stationary distribution
- markov model
- monte carlo simulation
- transition matrix
- stochastic process
- random walk
- average reward
- objective function
- monte carlo method
- markov models
- average cost
- optimal solution
- sufficient conditions
- hidden markov models
- random numbers
- bayesian networks