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: | Hernndez-Lerma O., Gonzlez-Hernndez J. |
Keywords: | control processes |
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.