Sample-path optimality and variance-minimization of average cost Markov control processes

Sample-path optimality and variance-minimization of average cost Markov control processes

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Article ID: iaor2002909
Country: United States
Volume: 38
Issue: 1
Start Page Number: 79
End Page Number: 93
Publication Date: Dec 1999
Journal: SIAM Journal on Control and Optimization
Authors: , ,
Abstract:

This paper studies several average-cost criteria for Markov control processes on Borel spaces with possibly unbounded costs. Under suitable hypotheses we show (i) the existence of a sample-path average cost (SPAC-)optimal stationary policy; (ii) a stationary policy is SPAC-optimal if and only if it is expected average cost (EAC-)optimal; and (iii) within the class of stationary SPAC-optimal (equivalently, EAC-optimal) policies there exists one with a minimal limiting average variance.

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