Approximation, estimation and control of stochastic systems under a randomized discounted cost criterion
The paper deals with a class of discrete-time stochastic control processes under a discounted optimality criterion with random discount rate, and possibly unbounded costs. The state process and the discount process evolve according to the coupled difference equations where the state and discount disturbance processes and are sequences of i.i.d. random variables with densities and respectively. The main objective is to introduce approximation algorithms of the optimal...