Limiting optimal discounted-cost control of a class of time-varying stochastic systems

✍ Scribed by Nadine Hilgert; Onésimo Hernández-Lerma

• Publisher: Elsevier Science
• Year: 2000
• Tongue: English
• Weight: 103 KB
• Volume: 40
• Category: Article
• ISSN: 0167-6911
• DOI: 10.1016/s0167-6911(99)00121-8

✦ Synopsis

We consider a class of time-varying R d -valued control models, and with possibly unbounded costs. The processes evolve according to the system equation xn+1 = Gn(xn; an) + n (n ∈ N), where { n} are i.i.d. random vectors and {Gn} a sequence of known functions converging to some function G∞. Under suitable hypotheses, we show the existence of an -discount optimal policy for the limiting system xn+1 = G∞(xn; an) + n.