Discounted cost optimality problem: Stability with respect to weak metrics (Q1006553): Difference between revisions
From MaRDI portal
Changed an Item |
Set profile property. |
||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank |
Revision as of 02:52, 5 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Discounted cost optimality problem: Stability with respect to weak metrics |
scientific article |
Statements
Discounted cost optimality problem: Stability with respect to weak metrics (English)
0 references
25 March 2009
0 references
In the paper, inequalities to estimate the stability (robustness) of a discounted cost optimization problem for discrete-time Markov control processes are derived on a Borel state space. The one stage cost is allowed to be unbounded. Unlike the known results in this area we consider a perturbation of transition probabilities measured by the Kantorovich metric, closely related to the weak convergence. The results obtained make possible to estimate the vanishing rate of the stability index when approximation is made through empirical measures.
0 references
discrete-time Markov control process
0 references
total discounted cost
0 references
stability inequalities
0 references
Kantorovich metric
0 references
empirical measure
0 references