Currently displaying 1 – 1 of 1

Showing per page

Order by Relevance | Title | Year of publication

Deterministic optimal policies for Markov control processes with pathwise constraints

Armando F. Mendoza-PérezOnésimo 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...

Page 1

Download Results (CSV)