Reinforcement Learning Methods for Continuous-Time Markov Decision Problems

Semi-Markov Decision Problems are continuous time generalizations ofdiscrete time Markov Decision Problems. A number of reinforcement learning algorithms have been developed recently for the solution of Markov Decision Problems, based on the ideas of asynchronous dynamic programming and stochastic approximation. Amongthese are TD(,x), Q-Iearning, and Real-time Dynamic Programming. After reviewing semi-Markov Decision Problems and Bellman's optimality equation in that context, we propose algorithms similarto those named above, adapted to the solution of semi-Markov Decision Problems. We demonstrate these algorithms by applying them to the problem of determining the optimal control fora simple queueing system. We conclude with a discussion of circumstances under which these algorithms may be usefully applied. 1 Introduction A number of reinforcement learning algorithms based on the ideas of asynchronous dynamic programming and stochastic approximation have been developed recently for the solution of Markov Decision Problems.