Title :
Sample-path and variance minimization of Markov control processes with average cost criteria
Author :
Hernandez-Lerma, Onesimo ; Vega-Amaya, Oscar ; Carrasco, Guadalupe
Author_Institution :
Dept. de Matematicas, CINVESTAV-IPN, Mexico City, Mexico
Abstract :
This paper studies several average cost criteria for Markov control processes on Borel spaces, with possibly unbounded costs. Under suitable hypotheses it is shown: (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) there exists one with minimal limiting average variance
Keywords :
Markov processes; minimisation; optimal control; stochastic systems; Borel spaces; EAC-optimal stationary policy; Markov control processes; SPAC-optimal stationary policy; average cost criteria; expected average cost optimal stationary policy; minimal limiting average variance; sample path average cost optimal stationary policy; variance minimization; Cost function; Postal services; Process control; Space stations; State-space methods;
Conference_Titel :
Decision and Control, 2000. Proceedings of the 39th IEEE Conference on
Conference_Location :
Sydney, NSW
Print_ISBN :
0-7803-6638-7
DOI :
10.1109/CDC.2000.912013
