Article ID: | iaor19942349 |
Country: | Germany |
Volume: | 39 |
Start Page Number: | 131 |
End Page Number: | 155 |
Publication Date: | Jan 1994 |
Journal: | Mathematical Methods of Operations Research (Heidelberg) |
Authors: | Marcus S.I., Fernndez-Gaucherand E., Ghosh M.K. |
Keywords: | control |
Stochastic control problems for controlled Markov processes models with an infinite planning horizon are considered, under some non-standard cost criteria. The classical discounted and average cost criteria can be viewed as complementary, in the sense that the former captures the short-time and the latter the long-time performance of the system. Thus, the authors study a cost criterion obtained as weighted combinations of these criteria, extending to a general state and control space framework several recent results by Feinberg and Shwartz, and by Krass et al. In addition, a functional characterization is given for overtaking optimal policies, for problems with countable state spaces and compact control spaces; the present approach is based on qualitative properties of the optimality equation for problems with an average cost criterion.