Average Optimality in Markov Control Processes via Discounted-Cost Problems and Linear Programming

DOI10.1137/S0363012993245306MaRDI QIDQ4874952zbMATH OpenOpenAlexFDO

Authors Onésimo Hernández-Lerma, Jean B. Lasserre

Publication date 11 June 1996

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0363012993245306

zbMATH Keywords

average-cost Markov control processdualitygaplinear programnon-compact constraint setstochastic kernel on Borel state spacevanishing discounted approach

Mathematics Subject Classification ID

Markov and semi-Markov decision processes (90C40) Optimal stochastic control (93E20)

Recommendations

• Linear Programming and Average Optimality of Markov Control Processes on Borel Spaces—Unbounded Costs
• Discounted cost Markov decision processes on Borel spaces: The linear programming formulation
• The average cost optimality equation for Markov control processes on Borel spaces
• scientific article; zbMATH DE number 729193
• Constrained Markov control processes with randomized discounted cost criteria: infinite linear programming approach

Cited in

(46)

• Characterizations of overtaking optimality for controlled diffusion processes
• The transformation method for continuous-time Markov decision processes
• Invariant measures for multidimensional fractional stochastic volatility models
• Nonuniqueness versus uniqueness of optimal policies in convex discounted Markov decision processes
• Partial hedging of American options in discrete time and complete markets: convex duality and optimal Markov policies
• A survey of average cost problems in deterministic discrete-time control systems
• Mean field Markov decision processes
• Optimality of mixed policies for average continuous-time Markov decision processes with constraints
• Absorbing continuous-time Markov decision processes with total cost criteria
• Long run risk sensitive portfolio with general factors
• The expected total cost criterion for Markov decision processes under constraints
• Multiobjective stopping problem for discrete-time Markov processes: convex analytic approach
• New discount and average optimality conditions for continuous-time Markov decision processes
• Impulsive control for continuous-time Markov decision processes: a linear programming approach
• The expected total cost criterion for Markov decision processes under constraints: a convex analytic approach
• The vanishing discount approach for the average continuous control of piecewise deterministic Markov processes
• Randomized and relaxed strategies in continuous-time Markov decision processes
• Minimum average value-at-risk for finite horizon semi-Markov decision processes in continuous time
• Convex analytic approach to constrained discounted Markov decision processes with non-constant discount factors
• Bounds for the Ruin Probability of a Discrete-Time Risk Process
• scientific article; zbMATH DE number 4128758 (Why is no real title available?)
• Linear Programming and Average Optimality of Markov Control Processes on Borel Spaces—Unbounded Costs
• Limiting average cost control problems in a class of discrete-time stochastic systems
• Asymptotic normality of discrete-time Markov control processes
• On gradual-impulse control of continuous-time Markov decision processes with exponential utility
• Asymptotic optimality of quantized stationary policies in continuous-time Markov decision processes with Polish spaces
• Robustness to incorrect system models in stochastic control
• Exponential convergence and stability of Howard's policy improvement algorithm for controlled diffusions
• Fatou's lemma in its classical form and Lebesgue's convergence theorems for varying measures with applications to Markov decision processes
• Finite approximation of the first passage models for discrete-time Markov decision processes with varying discount factors
• Robustness to approximations and model learning in MDPs and POMDPs
• On finite approximations to Markov decision processes with recursive and nonlinear discounting
• LP Formulations of Discrete Time Long-Run Average Optimal Control Problems: The NonErgodic Case
• Verification of general Markov decision processes by approximate similarity relations and policy refinement
• Continuous-time Markov decision processes with exponential utility
• On some impulse control problems with constraint
• Markov processes with restart
• Robust utility maximization of terminal wealth with drift and volatility uncertainty
• Distorted probability operator for dynamic portfolio optimization in times of socio-economic crisis
• Extreme Occupation Measures in Markov Decision Processes with an Absorbing State
• Performance analysis for controlled semi-Markov systems with application to maintenance
• Optimal control of a dynamic production-inventory system with various cost criteria
• Continuous-time Markov decision processes with state-dependent discount factors
• A new learning algorithm for optimal stopping
• A semimartingale characterization of average optimal stationary policies for Markov decision processes
• Average optimality for continuous-time Markov decision processes in Polish spaces

This page was built for publication: Average Optimality in Markov Control Processes via Discounted-Cost Problems and Linear Programming

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4874952)