TY - JOUR
T1 - Sample-path and variance minimization of Markov control processes with average cost criteria
AU - Hernaández-Lerma, Onésimo
AU - Vega-Amaya, Oscar
AU - Carrasco, Guadalupe
PY - 2000/12
Y1 - 2000/12
N2 - This paper studies several average cost criteria for Markov control processes on Borel spaces, with possibly unbounded costs. Under suitable hypotheses it is shown: (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) there exists one with minimal limiting average variance.
AB - This paper studies several average cost criteria for Markov control processes on Borel spaces, with possibly unbounded costs. Under suitable hypotheses it is shown: (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) there exists one with minimal limiting average variance.
KW - (Discrete-time) Markov control processes
KW - Average cost criteria
KW - Average variance
KW - Canonical policies
KW - Expected average cost
KW - Sample-path average cost
UR - http://www.scopus.com/inward/record.url?scp=0034439335&partnerID=8YFLogxK
U2 - 10.1109/CDC.2000.912013
DO - 10.1109/CDC.2000.912013
M3 - Artículo
SN - 0191-2216
VL - 2
SP - 1172
EP - 1176
JO - Proceedings of the IEEE Conference on Decision and Control
JF - Proceedings of the IEEE Conference on Decision and Control
ER -