markov decision method

an update formula that allows the expression of the deviation matrix of a continuous-time Markov process with denumerable state space having generator matrix through a continuous-time Markov process with generator matrix Q. We show that under suitable stability conditions the algorithmcon verges at a geometric rate. By applying the concept to three different examples, namely, the M/M/1 queue with vacations, the M/G/1 queue, and a tandem network, we illustrate the broad applicability of our approach. For a problem in admission c ontrol, we apply our approximation algorithm to Markov decision theory for computing the optimal control policy. Numerical examples are presented to highlight the efficiency of the proposed algorithm. ontrol, we apply our approximation algorithm to Markov decision theory for computing the optimal control policy. Numerical examples are presented to highlight the efficiency of the proposed algorithm.