On Strategic Measures and Optimality Properties in Discrete-Time Stochastic Control with Universally Measurable Policies

DOI10.1287/MOOR.2022.0188arXiv2206.06492MaRDI QIDQ6401973FDOQ6401973

Authors: Huizhen Yu 

Publication date: 13 June 2022

Abstract: This paper concerns discrete-time infinite-horizon stochastic control systems with Borel state and action spaces and universally measurable policies. We study optimization problems on strategic measures induced by the policies in these systems. The results are then applied to risk-neutral and risk-sensitive Markov decision processes, as well as their partially observable counterparts, to establish the measurability of the optimal value functions and the existence of universally measurable, randomized or nonrandomized, $epsilon$-optimal policies, for a variety of average cost criteria and risk criteria. We also extend our analysis to a class of minimax control problems and establish similar optimality results under the axiom of analytic determinacy.

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Markov and semi-Markov decision processes (90C40) Optimal stochastic control (93E20)

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