A semimartingale characterization of average optimal stationary policies for Markov decision processes

A semimartingale characterization of average optimal stationary policies for Markov decision processes

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Article ID: iaor20084677
Country: United States
Volume: 2006
Issue: 81593
Start Page Number: 1
End Page Number: 8
Publication Date: Jan 2006
Journal: Journal of Applied Mathematics and Stochastic Analysis
Authors: ,
Keywords: programming: markov decision, stochastic processes, control
Abstract:

This paper deals with discrete-time Markov decision processes with Borel state and action spaces. The criterion to be minimized is the average expected costs, and the costs may have neither upper nor lower bounds. In our former paper (to appear in Journal of Applied Probability), weaker conditions are proposed to ensure the existence of average optimal stationary policies. In this paper, we further study some properties of optimal policies. Under these weaker conditions, we not only obtain two necessary and sufficient conditions for optimal policies, but also give a ‘semimartingale characterization’ of an average optimal stationary policy.

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