학술논문
Sample-path and variance minimization of Markov control processes with average cost criteria
Document Type
Conference
Source
Proceedings of the 39th IEEE Conference on Decision and Control (Cat. No.00CH37187) Decision and control Decision and Control, 2000. Proceedings of the 39th IEEE Conference on. 2:1172-1176 vol.2 2000
Subject
Language
ISSN
0191-2216
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.