Sample-path and variance minimization of Markov control processes with average cost criteria

Onésimo Hernaández-Lerma, Oscar Vega-Amaya, Guadalupe Carrasco

Resultado de la investigación: Contribución a una revistaArtículorevisión exhaustiva

Resumen

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.
Idioma originalInglés estadounidense
Páginas (desde-hasta)1172-1176
Número de páginas5
PublicaciónProceedings of the IEEE Conference on Decision and Control
DOI
EstadoPublicada - 1 ene 2000

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