Constrained Markov control processes with randomized discounted cost criteria: Infinite linear programming approach

Juan González-Hernández, Raquiel R. López-Martínez, J. Adolfo Minjárez-Sosa*, J. Rigoberto Gabriel-Arguelles

*Autor correspondiente de este trabajo

Producción científica: Contribución a una revistaArtículorevisión exhaustiva

6 Citas (Scopus)

Resumen

In this paper, we study constrained Markov control processes on Borel spaces with possibly unbounded one-stage cost, under a discounted optimality criterion with random discount factor and restrictions of the same kind.We prove that the corresponding optimal control problem is equivalent to an infinite-dimensional linear programming problem. In addition, considering the dual program, we show that there is no duality gap, and moreover, the strong duality condition holds. Hence, both programs are solvable, and their optimal values coincide.

Idioma originalInglés
Páginas (desde-hasta)575-591
Número de páginas17
PublicaciónOptimal Control Applications and Methods
Volumen35
N.º5
DOI
EstadoPublicada - sep. 2014

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Publisher Copyright:
Copyright © 2013 John Wiley & Sons, Ltd.

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