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

被引：47
|
作者：
Hernández-Lerma, O
Vega-Amaya, O
Carrasco, G
机构：
[1] Inst Politecn Nacl, Ctr Invest & Estudios Avanzados, Dept Matemat, Mexico City 07000, DF, Mexico
[2] Sonoma State Univ, Dept Matemat, Hermosillo, Sonora, Mexico
[3] Univ Nacl Autonoma Mexico, Fac Ciencia, Dept Matemat, Mexico City 04510, DF, Mexico
来源：
SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 1999年 / 38卷 / 01期
关键词：
(discrete-time) Markov control processes; average cost criteria; sample-path average cost; expected average cost; canonical policies; average variance;
D O I：
10.1137/S0363012998340673
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
This paper studies several average-cost criteria for Markov control processes on Borel spaces with possibly unbounded costs. Under suitable hypotheses we show (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) policies there exists one with a minimal limiting average variance.
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页码：79 / 93
页数：15
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