Overtaking and almost-sure optimality for infinite horizon Markov Decision Processes

• 成果类型: Article
• 署名作者: Leizarowitz, A
• 刊物名称: MATHEMATICS OF OPERATIONS RESEARCH
• ISSN/ISSBN: 0364-765X
• DOI: 10.1287/moor.21.1.158
• 发表日期: 1996
• 页码: 158-181
• 关键词: dynamic programs

摘要

We consider infinite horizon optimal control of Markov chains on complete metric spaces. We employ the overtaking optimality criterion, which is either applied to the expected cost-now, or to the individual sample paths, yielding almost-sure optimality results. We use the existence of a solution pair (Phi(.), lambda) to the optimality equation L Phi(x) = lambda to establish and characterize optimal strategies. For finite state-spaces we derive sufficient, as well as necessary conditions for overtaking optimality.