Asymptotic Optimality and Rates of Convergence of Quantized Stationary Policies in Continuous-Time Markov Decision Processes

Algorithm 1

(An iteration algorithm).

	Step 1. (Initialization). Choose any , let in Assumption 1, and for each , let
	Step 2. (Iteration). For each , let
	where .
	Step 3. (Approximation value). If
	where , go on step 4, otherwise increment by 1 and return to step 2.
	Step 4. (-optimal policy). For each , choose
	and is -optimal policy.