Guo, Xianping; Zhang, Wenzhao - In: European Journal of Operational Research 238 (2014) 2, pp. 486-496
In this paper we consider the convergence of a sequence {Mn} of the models of discounted continuous-time constrained … developed here, we show that an optimal policy and the optimal value for countable-state continuous-time MDP can be approximated … by those of finite-state continuous-time MDP. Finally, we further illustrate such finite-state approximation by solving …