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Average cost Markov control processes with weighted norms: value iteration

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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.

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1 Applicationes Mathematicae

1 Gordienko E.

1 Hernández-Lerma O.

1 1995

Wyniki wyszukiwania

Average cost Markov control processes with weighted norms: value iteration