Displaying similar documents to “Sample path average optimality of Markov control processes with strictly unbounded cost”

Sample-path average cost optimality for semi-Markov control processes on Borel spaces: unbounded costs and mean holding times

Oscar Vega-Amaya, Fernando Luque-Vásquez (2000)

Applicationes Mathematicae

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We deal with semi-Markov control processes (SMCPs) on Borel spaces with unbounded cost and mean holding time. Under suitable growth conditions on the cost function and the mean holding time, together with stability properties of the embedded Markov chains, we show the equivalence of several average cost criteria as well as the existence of stationary optimal policies with respect to each of these criteria.

Average cost Markov control processes with weighted norms: existence of canonical policies

Evgueni Gordienko, Onésimo Hernández-Lerma (1995)

Applicationes Mathematicae

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This paper considers discrete-time Markov control processes on Borel spaces, with possibly unbounded costs, and the long run average cost (AC) criterion. Under appropriate hypotheses on weighted norms for the cost function and the transition law, the existence of solutions to the average cost optimality inequality and the average cost optimality equation are shown, which in turn yield the existence of AC-optimal and AC-canonical policies respectively.

Deterministic optimal policies for Markov control processes with pathwise constraints

Armando F. Mendoza-Pérez, Onésimo Hernández-Lerma (2012)

Applicationes Mathematicae

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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...