Discrete-Time Controlled Markov Processes with Average Cost Criterion: A Survey | Zendy

Ari Arapostathis | Zendy; Vivek S. Borkar | Zendy; E. Fernández-Gaucherand | Zendy; Mrinal K. Ghosh | Zendy; Steven I. Marcus | Zendy

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Discrete-Time Controlled Markov Processes with Average Cost Criterion: A Survey

Author(s) -

Ari Arapostathis,

Vivek S. Borkar,

E. Fernández-Gaucherand,

Mrinal K. Ghosh,

Steven I. Marcus

Publication year - 1993

Publication title -

siam journal on control and optimization

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 1.486

H-Index - 116

eISSN - 1095-7138

pISSN - 0363-0129

DOI - 10.1137/0331018

Subject(s) - variety (cybernetics) , exposition (narrative) , mathematics , markov chain , markov decision process , perspective (graphical) , state space , action (physics) , discrete time and continuous time , mathematical economics , markov process , operations research , management science , econometrics , mathematical optimization , statistics , economics , art , physics , geometry , literature , quantum mechanics

summary:This work concerns controlled Markov chains with finite state space and compact action sets. The decision maker is risk-averse with constant risk-sensitivity, and the performance of a control policy is measured by the long-run average cost criterion. Under standard continuity-compactness conditions, it is shown that the (possibly non-constant) optimal value function is characterized by a system of optimality equations which allows to obtain an optimal stationary policy. Also, it is shown that the optimal superior and inferior limit average cost functions coincide

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