Limiting average cost control problems in a class of discrete-time stochastic systems
We consider a class of -valued stochastic control systems, with possibly unbounded costs. The systems evolve according to a discrete-time equation (t = 0,1,... ), for each fixed n = 0,1,..., where the are i.i.d. random vectors, and the Gₙ are given functions converging pointwise to some function 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...