Limiting average cost control problems in a class of discrete-time stochastic systems

• Autorzy: Nadine Hilgert , Onesimo Hernández-Lerma
• Języki publikacji: EN

Abstrakty

EN

We consider a class of $ℝ^d$-valued stochastic control systems, with possibly unbounded costs. The systems evolve according to a discrete-time equation $x_{t+1} = Gₙ(x_t,a_t)+ξ_t$ (t = 0,1,... ), for each fixed n = 0,1,..., where the $ξ_t$ are i.i.d. random vectors, and the Gₙ are given functions converging pointwise to some function $G_{∞}$ as n → ∞. Under suitable hypotheses, our main results state the existence of stationary control policies that are expected average cost (EAC) optimal and sample path average cost (SPAC) optimal for the limiting control system $x_{t+1} = G_{∞}(x_t,a_t)+ξ_t$ (t = 0,1,...).

Kategorie tematyczne

• 90C40: Markov and semi-Markov decision processes
• 93E20: Optimal stochastic control

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Applicationes Mathematicae
• Rocznik: 2001
• Tom: 28
• Numer: 1
• Strony: 111-123

Daty

wydano

2001

Twórcy

autor

Nadine Hilgert

• Departamento de Matematicas, CINVESTAV-IPN, Apartado Postal 14-740, Mexico D.F. 07000, Mexico
• Permanent address, Laboratoire de Biometrie, INRA-ENSA.M, 2 place Viala, 34060 Montpellier Cedex 1, France

autor

Onesimo Hernández-Lerma

• Departamento de Matematicas, CINVESTAV-IPN, Apartado Postal 14-740, Mexico D.F. 07000, Mexico

Identyfikatory

DOI

10.4064/am28-1-8