Controlled markov processes on the infinite planning horizon: weighted and overtaking cost criteria

Fernández-Gaucherand, Emmanuel ; Ghosh, Mrinal K. ; Marcus, Steven I. (1994) Controlled markov processes on the infinite planning horizon: weighted and overtaking cost criteria Mathematical Methods of Operations Research, 39 (2). pp. 131-155. ISSN 1432-2994

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Official URL: http://www.springerlink.com/content/ljh43100641055...

Related URL: http://dx.doi.org/10.1007/BF01415579

Abstract

Stochastic control problems for controlled Markov processes models with an infinite planning horizon are considered, under some non-standard cost criteria. The classical discounted and average cost criteria can be viewed as complementary, in the sense that the former captures the short-time and the latter the long-time performance of the system. Thus, we study a cost criterion obtained as weighted combinations of these criteria, extending to a general state and control space framework several recent results by Feinberg and Shwartz, and by Krass et al. In addition, a functional characterization is given for overtaking optimal policies, for problems with countable state spaces and compact control spaces; our approach is based on qualitative properties of the optimality equation for problems with an average cost criterion.

Item Type:Article
Source:Copyright of this article belongs to Springer-Verlag.
Keywords:Controlled Markov Processes; Infinite Planning Horizon; Weighted and Overtaking Cost Criteria
ID Code:11940
Deposited On:13 Nov 2010 13:32
Last Modified:02 Jun 2011 08:25

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