LP based upper and lower bounds for Cesàro and Abel limits of the optimal values in problems of control of stochastic discrete time systems

DOI10.1016/J.JMAA.2022.126121zbMath1489.90207arXiv2010.15375OpenAlexW4221087484MaRDI QIDQ831480

Lucas Gamertsfelder, Vladimir Gaitsgory, Konstantin E. Avrachenkov

Publication date: 23 March 2022

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2010.15375

zbMATH Keywords

linear programmingdynamic programmingstochastic optimal controloptimality conditionsdiscrete timeMarkov decision processes (MDPs)

Mathematics Subject Classification ID

Dynamic programming (90C39) Markov and semi-Markov decision processes (90C40)

Related Items (1)

Time‐average stochastic control based on a singular local Lévy model for environmental project planning under habit formation

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