Displaying similar documents to “Existence of average optimal policies in Markov control processes with strictly unbounded costs”

Sample path average optimality of Markov control processes with strictly unbounded cost

Oscar Vega-Amaya (1999)

Applicationes Mathematicae

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We study the existence of sample path average cost (SPAC-) optimal policies for Markov control processes on Borel spaces with strictly unbounded costs, i.e., costs that grow without bound on the complement of compact subsets. Assuming only that the cost function is lower semicontinuous and that the transition law is weakly continuous, we show the existence of a relaxed policy with 'minimal' expected average cost and that the optimal average cost is the limit of discounted programs. Moreover,...

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.