Open Problem—Convergence and Asymptotic Optimality of the Relative Value Iteration in Ergodic Control

DOI10.1287/STSY.2019.0040zbMATH Open1447.93370OpenAlexW2973929671MaRDI QIDQ5113902FDOQ5113902

Ari Arapostathis

Publication date: 18 June 2020

Published in: Stochastic Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/stsy.2019.0040

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zbMATH Keywords

optimizationcontrolstochastic networks

Mathematics Subject Classification ID

Markov and semi-Markov decision processes (90C40) Optimal stochastic control (93E20) Networked control (93B70)

Cites Work

• Dynamic programming, Markov chains, and the method of successive approximations
• Relative Value Iteration for Stochastic Differential Games
• Large time asymptotic problems for optimal stochastic control with superlinear cost
• Subgeometric rates of convergence of \(f\)-ergodic strong Markov processes
• Value iteration in average cost Markov control processes on Borel spaces
• Error bounds for rolling horizon policies in discrete-time Markov control processes
• Value iteration and optimization of multiclass queueing networks
• On solutions of mean field games with ergodic cost
• Convergence of the Relative Value Iteration for the Ergodic Control Problem of Nondegenerate Diffusions under Near-Monotone Costs
• A note on the convergence rate of the value iteration scheme in controlled Markov chains
• Value Iteration in a Class of Communicating Markov Decision Chains with the Average Cost Criterion
• On Convergence of Value Iteration for a Class of Total Cost Markov Decision Processes
• Illustrated review of convergence conditions of the value iteration algorithm and the rolling horizon procedure for average-cost MDPs

Cited In (2)

• On the relative value iteration with a risk-sensitive criterion
• Introduction to the Applied Probability Society’s “Open Problems in Applied Probability” Session at the INFORMS Annual Meeting, Phoenix, Arizona, November 4–7, 2018

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