On Strategic Measures and Optimality Properties in Discrete-Time Stochastic Control with Universally Measurable Policies

• 成果类型: Article
• 署名作者: Yu, Huizhen
• 署名单位: University of Alberta
• 刊物名称: MATHEMATICS OF OPERATIONS RESEARCH
• ISSN/ISSBN: 0364-765X
• DOI: 10.1287/moor.2022.0188
• 发表日期: 2024
• 页码: 1734-1760
• 关键词: markov decision-processes; CONVERGENCE; EXISTENCE; games

摘要

This paper concerns discrete-time infinite-horizon stochastic control systems with Borel state and action spaces and universally measurable policies. We study optimization problems on strategic measures induced by the policies in these systems. The results are then applied to risk-neutral and risk-sensitive Markov decision processes to establish the measurability of the optimal value functions and the existence of universally measurable, randomized or nonrandomized, e-optimal policies, for a variety of average cost criteria and risk criteria. We also extend our analysis to a class of minimax control problems and establish similar optimality results under the axiom of analytic determinacy.