LP based upper and lower bounds for Cesàro and Abel limits of the optimal values in problems of control of stochastic discrete time systems
From MaRDI portal
Publication:831480
DOI10.1016/J.JMAA.2022.126121zbMATH Open1489.90207arXiv2010.15375OpenAlexW4221087484MaRDI QIDQ831480FDOQ831480
Authors: Lucas Gamertsfelder, Konstantin Avrachenkov, V. Gaitsgory 
Publication date: 23 March 2022
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Abstract: In this paper, we study asymptotic properties of problems of control of stochastic discrete time systems (also known as Markov decision processes) with time averaging and time discounting optimality criteria, and we establish that the Ces`aro and Abel limits of the optimal values in such problems can be evaluated with the help of a certain infinite-dimensional linear programming problem and its dual.
Full work available at URL: https://arxiv.org/abs/2010.15375
Recommendations
- Linear programming estimates for Cesàro and Abel limits of optimal values in optimal control problems
- LP-related representations of Cesàro and Abel limits of optimal value functions
- Limiting average cost control problems in a class of discrete-time stochastic systems
- LP Formulations of Discrete Time Long-Run Average Optimal Control Problems: The NonErgodic Case
- Linear programming formulations of deterministic infinite horizon optimal control problems in discrete time
linear programmingdynamic programmingoptimality conditionsstochastic optimal controldiscrete timeMarkov decision processes (MDPs)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Uniform value in dynamic programming
- On optimality criteria for dynamic programs with long finite horizons
- Discounting versus averaging in dynamic programming
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- A Uniform Tauberian Theorem in Dynamic Programming
- Title not available (Why is that?)
- Markov decision processes with applications to finance.
- Title not available (Why is that?)
- Discrete-Time Controlled Markov Processes with Average Cost Criterion: A Survey
- Discounted continuous-time Markov decision processes with unbounded rates: the convex analytic approach
- Linear programming formulation of MDPs in countable state space: The multichain case
- Title not available (Why is that?)
- Title not available (Why is that?)
- Constrained Undiscounted Stochastic Dynamic Programming
- Error bounds for rolling horizon policies in discrete-time Markov control processes
- Analytic perturbation theory and its applications
- Title not available (Why is that?)
- Some comments on a theorem of Hardy and Littlewood
- Title not available (Why is that?)
- Linear programming and sequential decisions
- Linear Programming and Markov Decision Chains
- Title not available (Why is that?)
- On Linear Programming in a Markov Decision Problem
- Multichain Markov Renewal Programs
- On the relation between discounted and average optimal value functions
- Asymptotic Controllability and Exponential Stabilization of Nonlinear Control Systems at Singular Points
- Average cost Markov decision processes with weakly continuous transition probabilities
- An $\varepsilon $-Optimal Control of a Finite Markov Chain with an Average Reward Criterion
- Stochastically recursive sequences and their generalizations
- Averaging and linear programming in some singularly perturbed problems of optimal control
- A review of duality theory for linear programming over topological vector spaces
- Tauberian theorem for value functions
- Singularly perturbed linear programs and Markov decision processes
- 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
- Examples in Markov decision processes
- Infinite Linear Programming and Multichain Markov Control Processes in Uncountable Spaces
- Sample path average optimality of Markov control processes with strictly unbounded cost
- LP Formulations of Discrete Time Long-Run Average Optimal Control Problems: The NonErgodic Case
Cited In (5)
- Time‐average stochastic control based on a singular local Lévy model for environmental project planning under habit formation
- Examples concerning Abel and Cesàro limits
- Linear programming estimates for Cesàro and Abel limits of optimal values in optimal control problems
- On representation formulas for long run averaging optimal control problem
- Lack of equality between Abel and Cesàro limits in discrete optimal control and the implied duality gap
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
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q831480)
