Discounted cost optimality problem: Stability with respect to weak metrics (Q1006553): Difference between revisions
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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 |
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Discounted cost optimality problem: Stability with respect to weak metrics (English)
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25 March 2009
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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.
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discrete-time Markov control process
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total discounted cost
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stability inequalities
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Kantorovich metric
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empirical measure
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