LP based upper and lower bounds for Cesàro and Abel limits of the optimal values in problems of control of stochastic discrete time systems

DOI10.1016/j.jmaa.2022.126121zbMath1489.90207arXiv2010.15375OpenAlexW4221087484MaRDI QIDQ831480

Lucas Gamertsfelder, Vladimir Gaitsgory, Konstantin E. Avrachenkov

Publication date: 23 March 2022

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2010.15375

zbMATH Keywords

linear programmingdynamic programmingstochastic optimal controloptimality conditionsdiscrete timeMarkov decision processes (MDPs)

Mathematics Subject Classification ID

Dynamic programming (90C39) Markov and semi-Markov decision processes (90C40)

Related Items (1)

Time‐average stochastic control based on a singular local Lévy model for environmental project planning under habit formation

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Uniform value in dynamic programming
• Markov decision processes with applications to finance.
• A review of duality theory for linear programming over topological vector spaces
• On optimality criteria for dynamic programs with long finite horizons
• On the relation between discounted and average optimal value functions
• Discounting versus averaging in dynamic programming
• Some comments on a theorem of Hardy and Littlewood
• Tauberian theorem for value functions
• Singularly perturbed linear programs and Markov decision processes
• Stochastically recursive sequences and their generalizations
• Averaging and linear programming in some singularly perturbed problems of optimal control
• Linear programming formulations of deterministic infinite horizon optimal control problems in discrete time
• Linear programming formulation of long-run average optimal control problem
• Constraint augmentation in pseudo-singularly perturbed linear programs
• Linear Programming and Sequential Decisions
• Analytic Perturbation Theory and Its Applications
• Average Cost Markov Decision Processes with Weakly Continuous Transition Probabilities
• Examples in Markov Decision Processes
• Discounted Continuous-Time Markov Decision Processes with Unbounded Rates: The Convex Analytic Approach
• Constrained Undiscounted Stochastic Dynamic Programming
• Linear Programming and Markov Decision Chains
• An $\varepsilon $-Optimal Control of a Finite Markov Chain with an Average Reward Criterion
• A Uniform Tauberian Theorem in Dynamic Programming
• Asymptotic Controllability and Exponential Stabilization of Nonlinear Control Systems at Singular Points
• Linear programming formulation of MDPs in countable state space: The multichain case
• Infinite Linear Programming and Multichain Markov Control Processes in Uncountable Spaces
• Sample path average optimality of Markov control processes with strictly unbounded cost
• Discrete-Time Controlled Markov Processes with Average Cost Criterion: A Survey
• Error bounds for rolling horizon policies in discrete-time Markov control processes
• LP Formulations of Discrete Time Long-Run Average Optimal Control Problems: The NonErgodic Case
• On Linear Programming in a Markov Decision Problem
• Multichain Markov Renewal Programs

This page was built for publication: LP based upper and lower bounds for Cesàro and Abel limits of the optimal values in problems of control of stochastic discrete time systems