Constrained Markov control processes in Borel spaces: The discounted case

Constrained Markov control processes in Borel spaces: The discounted case

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Article ID: iaor20013552
Country: Germany
Volume: 52
Issue: 2
Start Page Number: 271
End Page Number: 285
Publication Date: Jan 2000
Journal: Mathematical Methods of Operations Research (Heidelberg)
Authors: ,
Keywords: control processes
Abstract:

We consider constrained discounted-cost Markov control processes in Borel spaces, with unbounded costs. Conditions are given for the constrained problem to be solvable, and also equivalent to an equality-constrained (EC) linear program. In addition, it is shown that there is no duality gap between EC and its dual program EC*, and that, under additional assumptions, also EC* is solvable, so that in fact the strong duality condition holds. Finally, a Farkas-like theorem is included, which gives necessary and sufficient conditions for the primal programe EC to be consistent.

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