Borkar, Vivek S. (1994) Ergodic control of markov chains with constraints-the general case SIAM Journal on Control and Optimization, 32 (1). pp. 176-186. ISSN 0363-0129
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Official URL: http://link.aip.org/link/?SJCODC/32/176/1
Related URL: http://dx.doi.org/10.1137/S1052623491218895
Abstract
The problem of controlling a Markov chain on a countable state space with ergodic or `long run average' cost is studied in the presence of additional constraints; requiring finitely many (say; $m$) other ergodic costs to satisfy prescribed bounds. Under extremely general conditions; it is proved that an optimal stationary randomized strategy can be found that requires at most $m$ randomizations. This generalizes a result of Ross.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Society for Industrial & Applied Mathematics. |
| Keywords: | Controlled Markov Chains; Control under Constraints; Ergodic Control; Randomized Strategy; Ergodic Occupation Measures |
| ID Code: | 5306 |
| Deposited On: | 18 Oct 2010 08:34 |
| Last Modified: | 20 May 2011 09:35 |
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