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Deterministic optimal policies for Markov control processes with pathwise constraints

Armando F. Mendoza-Pérez, Onésimo Hernández-Lerma (2012)

Applicationes Mathematicae

This paper deals with discrete-time Markov control processes in Borel spaces with unbounded rewards. Under suitable hypotheses, we show that a randomized stationary policy is optimal for a certain expected constrained problem (ECP) if and only if it is optimal for the corresponding pathwise constrained problem (pathwise CP). Moreover, we show that a certain parametric family of unconstrained optimality equations yields convergence properties that lead to an approximation scheme which allows us to...

Discounted Markov control processes induced by deterministic systems

Hugo Cruz-Suárez, Raúl Montes-de-Oca (2006)

Kybernetika

This paper deals with Markov Control Processes (MCPs) on Euclidean spaces with an infinite horizon and a discounted total cost. Firstly, MCPs which result from the deterministic controlled systems will be analyzed. For such MCPs, conditions that permit to establish the equation known in the literature of Economy as Euler’s Equation (EE) will be given. There will be also presented an example of a Markov Control Process with deterministic controlled system where, to obtain the optimal value function,...

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