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Average cost Markov control processes with weighted norms: value iteration

100%

Gordienko E., Hernández-Lerma O.

Applicationes Mathematicae

1995-1996

tom 23

nr 2

219-237

This paper shows the convergence of the value iteration (or successive approximations) algorithm for average cost (AC) Markov control processes on Borel spaces, with possibly unbounded cost, under appropriate hypotheses on weighted norms for the cost function and the transition law. It is also shown that the aforementioned convergence implies strong forms of AC-optimality and the existence of forecast horizons.

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

100%

Hernández-Lerma O., Vega-Amaya O.

Applicationes Mathematicae

1998-1999

tom 25

nr 2

153-178

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

Average cost Markov control processes with weighted norms: existence of canonical policies

86%

Gordienko E., Hernández-Lerma O.

Applicationes Mathematicae

1995-1996

tom 23

nr 2

199-218

This paper considers discrete-time Markov control processes on Borel spaces, with possibly unbounded costs, and the long run average cost (AC) criterion. Under appropriate hypotheses on weighted norms for the cost function and the transition law, the existence of solutions to the average cost optimality inequality and the average cost optimality equation are shown, which in turn yield the existence of AC-optimal and AC-canonical policies respectively.

Ograniczanie wyników

3 Applicationes Mathematicae

3 Hernández-Lerma O.

2 Gordienko E.

1 Vega-Amaya O.

1 1998

2 1995

Wyniki wyszukiwania

Average cost Markov control processes with weighted norms: value iteration

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

Average cost Markov control processes with weighted norms: existence of canonical policies