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Estimates for perturbations of general discounted Markov control chains

Raúl Montes-de-Oca;  Alexander Sakhanenko;  Francisco Salem-Silva — 2003

Applicationes Mathematicae

We extend previous results of the same authors ([11]) on the effects of perturbation in the transition probability of a Markov cost chain for discounted Markov control processes. Supposing valid, for each stationary policy, conditions of Lyapunov and Harris type, we get upper bounds for the index of perturbations, defined as the difference of the total expected discounted costs for the original Markov control process and the perturbed one. We present examples that satisfy our conditions.

Estimates for perturbations of discounted Markov chains on general spaces

Raúl Montes-de-Oca;  Alexander Sakhanenko;  Francisco Salem-Silva — 2003

Applicationes Mathematicae

We analyse a Markov chain and perturbations of the transition probability and the one-step cost function (possibly unbounded) defined on it. Under certain conditions, of Lyapunov and Harris type, we obtain new estimates of the effects of such perturbations via an index of perturbations, defined as the difference of the total expected discounted costs between the original Markov chain and the perturbed one. We provide an example which illustrates our analysis.

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