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

DOI10.1137/S0363012993245306zbMATH Open0853.93106OpenAlexW2012263782MaRDI QIDQ4874952FDOQ4874952

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

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zbMATH Keywords

gapdualitylinear programaverage-cost Markov control processnon-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)

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• Extreme Occupation Measures in Markov Decision Processes with an Absorbing State
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• Bounds for the Ruin Probability of a Discrete-Time Risk Process
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• Optimality of mixed policies for average continuous-time Markov decision processes with constraints
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