Average cost Markov control processes with weighted norms: value iteration
Evgueni Gordienko; Onésimo Hernández-Lerma
Applicationes Mathematicae (1995)
- Volume: 23, Issue: 2, page 219-237
- ISSN: 1233-7234
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topGordienko, Evgueni, and Hernández-Lerma, Onésimo. "Average cost Markov control processes with weighted norms: value iteration." Applicationes Mathematicae 23.2 (1995): 219-237. <http://eudml.org/doc/219127>.
@article{Gordienko1995,
abstract = {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.},
author = {Gordienko, Evgueni, Hernández-Lerma, Onésimo},
journal = {Applicationes Mathematicae},
keywords = {average cost optimality equation; strong average optimality; (discrete-time) Markov control processes; long-run average cost; weighted norms; Markov control processes; convergence; value iteration; average cost optimality},
language = {eng},
number = {2},
pages = {219-237},
title = {Average cost Markov control processes with weighted norms: value iteration},
url = {http://eudml.org/doc/219127},
volume = {23},
year = {1995},
}
TY - JOUR
AU - Gordienko, Evgueni
AU - Hernández-Lerma, Onésimo
TI - Average cost Markov control processes with weighted norms: value iteration
JO - Applicationes Mathematicae
PY - 1995
VL - 23
IS - 2
SP - 219
EP - 237
AB - 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.
LA - eng
KW - average cost optimality equation; strong average optimality; (discrete-time) Markov control processes; long-run average cost; weighted norms; Markov control processes; convergence; value iteration; average cost optimality
UR - http://eudml.org/doc/219127
ER -
References
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- [4] E. Gordienko and O. Hernández-Lerma, Average cost Markov control processes with weighted norms: existence of canonical policies, this volume, 199-218. Zbl0829.93067
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Citations in EuDML Documents
top- Evgueni Gordienko, Onésimo Hernández-Lerma, Average cost Markov control processes with weighted norms: existence of canonical policies
- Evgueni I. Gordienko, Francisco Salem-Silva, Estimates of stability of Markov control processes with unbounded costs
- Evgueni I. Gordienko, J. Adolfo Minjárez-Sosa, Adaptive control for discrete-time Markov processes with unbounded costs: Discounted criterion
- Raúl Montes-de-Oca, Francisco Salem-Silva, Estimates for perturbations of average Markov decision processes with a minimal state and upper bounded by stochastically ordered Markov chains
- Fernando Luque-Vásquez, J. Adolfo Minjárez-Sosa, Empirical approximation in Markov games under unbounded payoff: discounted and average criteria
- Yofre H. García, Saul Diaz-Infante, J. Adolfo Minjárez-Sosa, Partially observable queueing systems with controlled service rates under a discounted optimality criterion
- Onésimo Hernández-Lerma, Oscar Vega-Amaya, Infinite-horizon Markov control processes with undiscounted cost criteria: from average to overtaking optimality
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