Extreme Points of Sets of Randomized Strategies in Constrained Optimization and Control Problems

DOI10.1137/040605345MaRDI QIDQ5317538zbMATH OpenOpenAlexFDO

Authors Juan González-Hernández, Onésimo Hernández-Lerma

Publication date 16 September 2005

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

Full work available at URL https://doi.org/10.1137/040605345

zbMATH Keywords

allocation problemsconstrained Markov control processesextreme points of convex setsrandomized strategies (relaxed controls)Young's relaxation technique

Mathematics Subject Classification ID

Convex sets in topological linear spaces; Choquet theory (46A55) Convex programming (90C25) Markov and semi-Markov decision processes (90C40)

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Cited in

(17)

• Convergence of Markov decision processes with constraints and state-action dependent discount factors
• Convexity and closure in optimal allocations determined by decomposable measures
• First passage Markov decision processes with constraints and varying discount factors
• Nonzero-sum stochastic differential games with additive structure and average payoffs
• A survey of average cost problems in deterministic discrete-time control systems
• Relaxed large economies with infinite-dimensional commodity spaces: the existence of Walrasian equilibria
• Convex analytic approach to constrained discounted Markov decision processes with non-constant discount factors
• Extreme Points for Linear Optimal Control Problems with Diagonal Structure
• A variational problem determined by probability measures
• The bang-bang, purification and convexity principles in infinite dimensions
• Optimal Control on Disconnected Sets Using Extreme Point Relaxations and Normality Approximations
• Optimal control problem regularization for the Markov process with finite number of states and constraints
• Constrained Markov decision processes in Borel spaces: from discounted to average optimality
• On Remotest set and Random controls in Kaczmarz algorithm
• Extreme Occupation Measures in Markov Decision Processes with an Absorbing State
• Optimal policies for constrained average-cost Markov decision processes
• Towards the optimal control of Markov chains with constraints

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