DocumentCode
919641
Title
Stability and singular perturbations in constrained Markov decision problems
Author
Altman, Eitan ; Gaitsgory, Vladimir A.
Author_Institution
INRIA, Valbonne, France
Volume
38
Issue
6
fYear
1993
fDate
6/1/1993 12:00:00 AM
Firstpage
971
Lastpage
975
Abstract
Constrained Markov decision problems (CMDPs) with the average cost criterion and a single ergodic chain, or the discounted cost with a general multichain structure, are considered. Conditions for stability of the optimal value and control to changes of the parameters of the problem, such as immediate costs, transition probabilities, and the discount factor, are established. Singular constrained problems, for which the optimal value and controls exhibit discontinuities, are studied
Keywords
Markov processes; decision theory; optimisation; perturbation techniques; probability; stability; average cost criterion; constrained Markov decision problems; discount factor; discounted cost; immediate costs; multichain structure; optimisation; single ergodic chain; singular perturbations; stability; transition probabilities; Adaptive control; Constraint theory; Cost function; Linear programming; Optimal control; Parameter estimation; Stability criteria; State-space methods; Sufficient conditions; Telecommunication control;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/9.222313
Filename
222313
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