Time-discretization for controlled Markov processes. I. General approximation results
Nico M. van Dijk, Arie Hordijk (1996)
Kybernetika
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Displaying similar documents to “Time-discretization for controlled Markov processes. II. A jump and diffusion application”
Time-discretization for controlled Markov processes. I. General approximation results
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...
Approximation and adaptive control of Markov processes: Average reward criterion
Onésimo Hernández-Lerma (1987)
Kybernetika
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Aspects of control for the normal Markov processes.
Saebi, Nasrollah (2004)
Bulletin of the Malaysian Mathematical Sciences Society. Second Series
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Risk-sensitive control of stochastic hybrid systems on infinite time horizon.
Runolfsson, Thordur (2000)
Mathematical Problems in Engineering
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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.