Markov Decision Process - Continuous-time Markov Decision Process

In discrete-time Markov Decision Processes, decisions are made at discrete time epoch. However, for Continuous-time Markov Decision Process, decisions can be made at any time when decision maker wants. Unlike discrete-time Markov Decision Process, Continuous-time Markov Decision Process could better model the decision making process when the interested system has continuous dynamics, i.e., the system dynamics is defined by partial differential equations (PDEs).

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