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1998-1999 | 25 | 2 | 153-178
Tytuł artykułu

Infinite-horizon Markov control processes with undiscounted cost criteria: from average to overtaking optimality

Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
We consider discrete-time Markov control processes on Borel spaces and infinite-horizon undiscounted cost criteria which are sensitive to the growth rate of finite-horizon costs. These criteria include, at one extreme, the grossly underselective average cost
Rocznik
Tom
25
Numer
2
Strony
153-178
Opis fizyczny
Daty
wydano
1998
otrzymano
1997-03-06
poprawiono
1997-07-15
Twórcy
  • Departamento de Matemáticas, CINVESTAV-IPN, A. Postal 14-740, México D.F. 07000, Mexico
  • Departamento de Matemáticas, Universidad de Sonora, Blvd. Transversal y Rosales s/n, Hermosillo, Sonora, Mexico
Bibliografia
  • A. Arapostathis, V. S. Borkar, E. Fernández-Gaucherand, M. K. Ghosh and S. I. Marcus (1993), Discrete-time controlled Markov processes with average cost criterion: a survey, SIAM J. Control Optim. 31, 282-344.
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  • D. A. Carlson, A. Haurie and A. Leizarowitz (1991), Infinite Horizon Optimal Control: Deterministic and Stochastic Systems, Springer, New York.
  • E. V. Denardo and U. G. Rothblum (1979), Overtaking optimality for Markov decision chains, Math. Oper. Res. 4, 144-152.
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  • E. Fernández-Gaucherand, M. K. Ghosh and S. I. Marcus (1994), Controlled Markov processes on the infinite planning horizon: weighted and overtaking criteria, Z. Oper. Res. 39, 131-155.
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  • E. Gordienko and O. Hernández-Lerma (1995a), Average cost Markov control processes with weighted norms: existence of canonical policies, Appl. Math. (Warsaw) 23, 199-218.
  • E. Gordienko and O. Hernández-Lerma (1995b), Average cost Markov control processes with weighted norms: value iteration, ibid., 219-237.
  • O. Hernández-Lerma (1989), Adaptive Markov Control Processes, Springer, New York.
  • O. Hernández-Lerma, J. C. Hennet and J. B. Lasserre (1991), Average cost Markov decision processes: optimality conditions, J. Math. Anal. Appl. 158, 396-406.
  • O. Hernández-Lerma and J. B. Lasserre (1996), Discrete-Time Markov Control Processes: Basic Optimality Criteria, Springer, New York.
  • O. Hernández-Lerma and J. B. Lasserre (1997), Policy iteration for average cost Markov control processes on Borel spaces, Acta Appl. Math. 47, 125-154.
  • O. Hernández-Lerma, R. Montes-de-Oca and R. Cavazos-Cadena (1991), Recurrence conditions for Markov decision processes with Borel state space: a survey, Ann. Oper. Res. 28, 29-46.
  • O. Hernández-Lerma and M. Muñoz de Ozak (1992), Discrete-time Markov control processes with discounted unbounded cost: optimality criteria, Kybernetika (Prague) 28, 191-212.
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  • S. P. Meyn (1995), The policy improvement algorithm for Markov decision processes with general state space, preprint, Coordinated Science Laboratory, Univ. of Illinois, Urbana, Ill.
  • S. P. Meyn and R. L. Tweedie (1993), Markov Chains and Stochastic Stability, Springer, London.
  • R. Montes-de-Oca and O. Hernández-Lerma (1996), Value iteration in average cost Markov control processes on Borel spaces, Acta Appl. Math. 42, 203-222.
  • A. S. Nowak (1992), Stationary overtaking optimal strategies in Markov decision processes with general state space, preprint, Institute of Mathematics, Technical Univ. of Wrocław.
  • E. Nummelin (1984), General Irreducible Markov Chains and Non-Negative Operators, Cambridge Univ. Press, Cambridge.
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Typ dokumentu
Bibliografia
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Identyfikator YADDA
bwmeta1.element.bwnjournal-article-zmv25i2p153bwm
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