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Constrained Markov control processes in Borel spaces: the discounted case

✍ Scribed by Onésimo Hernández-Lerma; Juan González-Hernández

Publisher
Springer
Year
2000
Tongue
English
Weight
131 KB
Volume
52
Category
Article
ISSN
0340-9422

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This paper is concerned with the linear programming formulation of Markov decision processes (or stochastic dynamic programs) with Borel state and action spaces and the discounted cost criterion. The one-stage cost function may be unbounded. A linear program and its dual are introduced, for which is

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This paper deals with discrete-time Markov control processes with Borel state and control spaces, with possibly unbounded costs and noncompact control constraint sets, and the average cost criterion. Conditions are given for the convergence of the value iteration algorithm to the optimal average cos