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: | Hernandez-Lerma O., Vega-Amaya O., Carrasco G. |
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.