• DocumentCode
    1743475
  • Title

    Sample-path and variance minimization of Markov control processes with average cost criteria

  • Author

    Hernandez-Lerma, Onesimo ; Vega-Amaya, Oscar ; Carrasco, Guadalupe

  • Author_Institution
    Dept. de Matematicas, CINVESTAV-IPN, Mexico City, Mexico
  • Volume
    2
  • fYear
    2000
  • fDate
    2000
  • Firstpage
    1172
  • Abstract
    This paper studies several average cost criteria for Markov control processes on Borel spaces, with possibly unbounded costs. Under suitable hypotheses it is shown: (i) the existence of a sample path average cost (SPAC-) optimal stationary policy; (ii) a stationary policy is SPAC-optimal if and only if it is expected average cost (EAC-) optimal; and (iii) within the class of stationary SPAC-optimal (equivalently EAC-optimal) there exists one with minimal limiting average variance
  • Keywords
    Markov processes; minimisation; optimal control; stochastic systems; Borel spaces; EAC-optimal stationary policy; Markov control processes; SPAC-optimal stationary policy; average cost criteria; expected average cost optimal stationary policy; minimal limiting average variance; sample path average cost optimal stationary policy; variance minimization; Cost function; Postal services; Process control; Space stations; State-space methods;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Decision and Control, 2000. Proceedings of the 39th IEEE Conference on
  • Conference_Location
    Sydney, NSW
  • ISSN
    0191-2216
  • Print_ISBN
    0-7803-6638-7
  • Type

    conf

  • DOI
    10.1109/CDC.2000.912013
  • Filename
    912013
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=1743475