Time-discretization for controlled Markov processes. II. A jump and diffusion application
Nico M. van Dijk, Arie Hordijk (1996)
Kybernetika
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Nico M. van Dijk, Arie Hordijk (1996)
Kybernetika
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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...
Onésimo Hernández-Lerma (1987)
Kybernetika
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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.
Łukasz Stettner (1993)
Applicationes Mathematicae
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Optimal control with long run average cost functional of a partially observed Markov process is considered. Under the assumption that the transition probabilities are equivalent, the existence of the solution to the Bellman equation is shown, with the use of which optimal strategies are constructed.