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Bayesian estimation of the mean holding time in average semi-Markov control processes

Volume 42 / 2015

J. Adolfo Minjárez-Sosa, José A. Montoya Applicationes Mathematicae 42 (2015), 205-218 MSC: Primary 93E10; Secondary 90C40. DOI: 10.4064/am42-2-7

Abstract

We consider semi-Markov control models with Borel state and action spaces, possibly unbounded costs, and holding times with a generalized exponential distribution with unknown mean $\theta $. Assuming that such a distribution does not depend on the state-action pairs, we introduce a Bayesian estimation procedure for $\theta $, which combined with a variant of the vanishing discount factor approach yields average cost optimal policies.

Authors

  • J. Adolfo Minjárez-SosaDepartamento de Matemáticas
    Universidad de Sonora
    Rosales s/n, Col. Centro, 83000 Hermosillo, Sonora, Mexico
    e-mail
  • José A. MontoyaDepartamento de Matemáticas
    Universidad de Sonora
    Rosales s/n, Col. Centro, 83000 Hermosillo, Sonora, Mexico
    e-mail

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