A semimartingale characterization of average optimal stationary policies for Markov decision processes

DOI10.1155/JAMSA/2006/81593MaRDI QIDQ871336zbMATHOpenAlexFDO

Authors Quanxin Zhu, Xianping Guo

Publication date 19 March 2007

Published in Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/54838

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Markov and semi-Markov decision processes (90C40) Optimal stochastic control (93E20)

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Cites work

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• Adaptive Markov control processes
• Another Set of Conditions for Strongn(n = −1, 0) Discount Optimality in Markov Decision Processes
• Average Optimality in Markov Control Processes via Discounted-Cost Problems and Linear Programming
• Average cost Markov control processes with weighted norms: existence of canonical policies
• Average optimality for Markov decision processes in borel spaces: a new condition and approach
• Discrete-Time Controlled Markov Processes with Average Cost Criterion: A Survey
• Finite state Markovian decision processes
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• Nonhomogeneous Markov decision processes with Borel state space -- the average criterion with nonuniformly bounded rewards.
• Unbounded cost Markov decision processes with limsup and liminf average criteria: new conditions

Cited in

(7)

• Maximizing the probability of attaining a target prior to extinction
• On the Existence of Average Optimal Policies in Semiregenerative Decision Models
• Sample-Path Optimal Stationary Policies in Stable Markov Decision Chains with the Average Reward Criterion
• New average optimality conditions for semi-Markov decision processes in Borel spaces
• A note on the existence of optimal stationary policies for average Markov decision processes with countable states
• Recent results on conditions for the existence of average optimal stationary policies
• Comparing recent assumptions for the existence of average optimal stationary policies

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