Strong average optimality for controlled nonhomogeneous Markov chains

被引：3
|
作者：
Guo, XP
Shi, P
Zhu, WP
机构：
[1] Zhongshan Univ, Dept Math, Canton 510275, Peoples R China
[2] Def Sci & Technol Org, Land Operat Div, Salisbury, SA 5108, Australia
[3] Univ Queensland, Dept Comp Sci & Elect Engn, St Lucia, Qld 4072, Australia
来源：
STOCHASTIC ANALYSIS AND APPLICATIONS | 2001年 / 19卷 / 01期
关键词：
controlled nonhomogeneous Markov chains (CNMCs); strong average criterion; optimality equations (OEs); strong average epsilon-optimal policies; algorithm;
D O I：
10.1081/SAP-100001186
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this paper, the problem of three kinds of average criteria (totally so-called strong average criterion) for controlled nonhomogeneous Markov chains with possibly unbounded rewards and denumerable state space is studied. We proposed a new set of conditions under which the existence of both a solution to the optimality equations and the strong average epsilon -optimal Markov policies is derived by martingale theory. Furthermore, an algorithm for computing strong average epsilon(>0)-optimal Markov policies is presented.
引用
收藏
页码：115 / 134
页数：20
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