Limiting average cost control problems in a class of discrete-time stochastic systems
Nadine Hilgert ; Onesimo Hernández-Lerma
Applicationes Mathematicae, Tome 28 (2001), p. 111-123 / Harvested from The Polish Digital Mathematics Library
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We consider a class of ℝd-valued stochastic control systems, with possibly unbounded costs. The systems evolve according to a discrete-time equation xt+1=Gₙ(xt,at)+ξt (t = 0,1,... ), for each fixed n = 0,1,..., where the ξt are i.i.d. random vectors, and the Gₙ are given functions converging pointwise to some function G∞ as n → ∞. Under suitable hypotheses, our main results state the existence of stationary control policies that are expected average cost (EAC) optimal and sample path average cost (SPAC) optimal for the limiting control system xt+1=G∞(xt,at)+ξt (t = 0,1,...).

Publié le : 2001-01-01
EUDML-ID : urn:eudml:doc:279078 
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Nadine Hilgert; Onesimo Hernández-Lerma. Limiting average cost control problems in a class of discrete-time stochastic systems. Applicationes Mathematicae, Tome 28 (2001) pp. 111-123. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am28-1-8/