TY - JOUR
T1 - Constrained Markov control processes with randomized discounted cost criteria
T2 - Occupation measures and extremal points
AU - González-Hernández, Juan
AU - López-Martínez, Raquiel R.
AU - Minjárez-Sosa, J. Adolfo
AU - Gabriel-Arguelles, J. Rigoberto
PY - 2013
Y1 - 2013
N2 - In this paper we study constrained Markov control processes on Borel spaces with possibly unbounded costs, under a discounted optimality criterion with random discount factor and restrictions of the same kind. Imposing mild conditions, we show the solubility of the corresponding control problem. Furthermore, we characterize the corresponding occupation measures and show the existence of randomized optimal control policies. These optimal strategies are convex combinations of deterministic stationary policies.
AB - In this paper we study constrained Markov control processes on Borel spaces with possibly unbounded costs, under a discounted optimality criterion with random discount factor and restrictions of the same kind. Imposing mild conditions, we show the solubility of the corresponding control problem. Furthermore, we characterize the corresponding occupation measures and show the existence of randomized optimal control policies. These optimal strategies are convex combinations of deterministic stationary policies.
KW - Constrained discounted cost
KW - direct method
KW - occupation measures
KW - random discount factor
UR - http://www.scopus.com/inward/record.url?scp=84884584019&partnerID=8YFLogxK
U2 - 10.3233/RDA-2012-0063
DO - 10.3233/RDA-2012-0063
M3 - Artículo
SN - 1569-7371
VL - 4
SP - 163
EP - 176
JO - Risk and Decision Analysis
JF - Risk and Decision Analysis
IS - 3
ER -