Bhatnagar, Shalabh ; Borkar, Vivek S. (1995) A convex analytic framework for ergodic control of semi-Markov processes Mathematics of Operations Research, 20 (4). pp. 923-936. ISSN 0364-765X
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Official URL: http://mor.journal.informs.org/content/20/4/923.sh...
Related URL: http://dx.doi.org/10.1287/moor.20.4.923
Abstract
The ergodic control problem for semi-Markov processes is reformulated as an optimization problem over the set of suitably defined 'ergodic occupation measures.' This set is shown to be closed and convex, with its extreme points corresponding to stationary strategies. This leads to the existence of optimal stationary strategies under additional hypotheses. A pathwise analysis of the joint empirical occupation measures of the state and control processes shows that this optimality is in the strong (i.e., almost sure) sense.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to INFORMS. |
| Keywords: | Semi-Markov Processes; Optimal Control; Ergodic Cost; Ergodic Occupation Measures; Stationary Strategies |
| ID Code: | 81430 |
| Deposited On: | 06 Feb 2012 04:55 |
| Last Modified: | 06 Feb 2012 04:55 |
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