Occupation measures for controlled Markov processes: Characterization and optimality
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Publication:2565367
DOI10.1214/AOP/1065725192zbMATH Open0863.93086OpenAlexW1481789702MaRDI QIDQ2565367FDOQ2565367
Publication date: 3 June 1997
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aop/1065725192
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convex optimizationoptimal controlsdiscounted costergodic costcontrolled Markov processesdual convex optimization
Cited In (47)
- On sets of occupational measures generated by a deterministic control system on an infinite time horizon
- Optimality issues for a class of controlled singularly perturbed stochastic systems
- A partial history of the early development of continuous-time nonlinear stochastic systems theory
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- Stochastic optimal control and linear programming approach
- Strict monotonicity of principal eigenvalues of elliptic operators in \(\mathbb R^d\) and risk-sensitive control
- Averaging and linear programming in some singularly perturbed problems of optimal control
- Linear programming approach to the optimal stopping of singular stochastic processes
- Linear programming approach to optimal impulse control problems with functional constraints
- Existence of asymptotic values for nonexpansive stochastic control systems
- On the LP formulation in measure spaces of optimal control problems for jump-diffusions
- Numerical comparison of controls and verification of optimality for stochastic control problems
- Characterization of stationary distributions of reflected diffusions
- Rate of Convergence of Empirical Measures and Costs in Controlled Markov Chains and Transient Optimality
- On characterisation of Markov processes via martingale problems
- Theoretical guarantees for satisfaction of terminal state constraints for nonlinear stochastic systems
- Variance minimization and the overtaking optimality approach to continuous-time controlled Markov chains
- A separation principle for partially observed control of singular stochastic processes
- Controlled martingale problems and their Markov mimics
- Envelopes of sets of measures, tightness, and Markov control processes
- Linear programming formulations of deterministic infinite horizon optimal control problems in discrete time
- Linear programming formulation of long-run average optimal control problem
- Impulsive control for continuous-time Markov decision processes: a linear programming approach
- Tighter bounds on transient moments of stochastic chemical systems
- Risk aggregation and stochastic claims reserving in disability insurance
- Use of Approximations of Hamilton-Jacobi-Bellman Inequality for Solving Periodic Optimization Problems
- MF-OMO: An Optimization Formulation of Mean-Field Games
- Computable Primal and Dual Bounds for Stochastic Control
- Dynamic programming for ergodic control with partial observations.
- Some applications of linear programming formulations in stochastic control
- Linear programming based optimality conditions and approximate solution of a deterministic infinite horizon discounted optimal control problem in discrete time
- On average control generating families for singularly perturbed optimal control problems with long run average optimality criteria
- Ergodic Control of a Class of Jump Diffusions with Finite Lévy Measures and Rough Kernels
- Convergence of Finite Element Methods for Singular Stochastic Control
- A dynamic analytic method for risk-aware controlled martingale problems
- Infection time in multistable gene networks. A backward stochastic variational inequality with nonconvex switch-dependent reflection approach
- On the Solution Structure of Infinite-Dimensional Linear Problems Stemming from Singular Stochastic Control Problems
- Representation Formulas for Limit Values of Long Run Stochastic Optimal Controls
- Characterization of the optimal trajectories for the averaged dynamics associated to singularly perturbed control systems
- Quantifying ambiguity bounds via time-consistent sets of indistinguishable models
- On the existence of strict optimal controls for constrained, controlled Markov processes in continuous time
- A convex analytic approach to Markov decision processes
- A numerical method for ergodic optimal control of switching diffusions with reflection
- LP Formulations of Discrete Time Long-Run Average Optimal Control Problems: The NonErgodic Case
- Constrained Markov control processes with randomized discounted cost criteria: infinite linear programming approach
- Controlled equilibrium selection in stochastically perturbed dynamics
- Continuity of cost in Borkar control topology and implications on discrete space and time approximations for controlled diffusions under several criteria
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