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

Nadine Hilgert; Onesimo Hernández-Lerma — 2001

Applicationes Mathematicae

We consider a class of $ℝ^{d}$ -valued stochastic control systems, with possibly unbounded costs. The systems evolve according to a discrete-time equation $x_{t + 1} = G ₙ (x_{t}, a_{t}) + ξ_{t}$ (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 $G_{\infty}$ 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...

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