Borkar, Vivek S. (1989) Control of Markov chains with long-run average cost criterion: the dynamic programming equations SIAM Journal on Control and Optimization, 27 (3). pp. 642-657. ISSN 0363-0129
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Official URL: http://link.aip.org/link/?SJCODC/27/642/1
Related URL: http://dx.doi.org/10.1137/0327034
Abstract
The long-run average cost control problem for discrete time Markov chains on a countable state space is studied in a very general framework. Necessary and sufficient conditions for optimality in terms of the dynamic programming equations are given when an optimal stable stationary strategy is known to exist (e.g., for the situations studied in [Stochastic Differential Systems, Stochastic Control Theory and Applications, IMA Vol. Math. App. 10, Springer-Verlag, New York, Berlin, 1988, pp. 57-77]). A characterization of the desired solution of the dynamic programming equations is given in a special case. Also included is a novel convex analytic argument for deducing the existence of an optimal stable stationary.strategy when that of a randomized one is known.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Society for Industrial & Applied Mathematics. |
| Keywords: | Markov Chains; Long-run Average Cost; Optimal Control; Dynamic Programming; Stationary |
| ID Code: | 5289 |
| Deposited On: | 18 Oct 2010 08:29 |
| Last Modified: | 20 May 2011 10:45 |
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