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 “Deterministic optimal policies for Markov control processes with pathwise constraints”
Time-discretization for controlled Markov processes. I. General approximation results
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.
Approximation and adaptive control of Markov processes: Average reward criterion
Onésimo Hernández-Lerma (1987)
Kybernetika
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A semimartingale characterization of average optimal stationary policies for Markov decision processes.
Zhu, Quanxin, Guo, Xianping (2006)
Journal of Applied Mathematics and Stochastic Analysis
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Time-discretization for controlled Markov processes. II. A jump and diffusion application
Nico M. van Dijk, Arie Hordijk (1996)
Kybernetika
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Optimal decision rules
H. J. Girlich (1985)
Banach Center Publications
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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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Semi-Markov control processes with non-compact action spaces and discontinuous costs
Anna Jaśkiewicz (2009)
Applicationes Mathematicae
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We establish the average cost optimality equation and show the existence of an (ε-)optimal stationary policy for semi-Markov control processes without compactness and continuity assumptions. The only condition we impose on the model is the V-geometric ergodicity of the embedded Markov chain governed by a stationary policy.
Uniqueness of optimal policies as a generic property of discounted Markov decision processes: Ekeland's variational principle approach
R. Israel Ortega-Gutiérrez, Raúl Montes-de-Oca, Enrique Lemus-Rodríguez (2016)
Kybernetika
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Many examples in optimization, ranging from Linear Programming to Markov Decision Processes (MDPs), present more than one optimal solution. The study of this non-uniqueness is of great mathematical interest. In this paper the authors show that in a specific family of discounted MDPs, non-uniqueness is a “fragile” property through Ekeland's Principle for each problem with at least two optimal policies; a perturbed model is produced with a unique optimal policy. This result not only supersedes...