Nonstationary Continuous-Time Markov Control Processes with Discounted Costs on Infinite Horizon |
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Authors: | Onésimo Hernández-Lerma T E Govindan |
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Institution: | (1) Departamento de Matemáticas, CINVESTAV–IPN, A. Postal 14-740, México, D.F. 07000, México;(2) Departamento de Sistemas, UAM–Azcapotzalco, Ave. San Pablo No. 180, México, D.F. 02200, México |
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Abstract: | This paper concerns nonstationary continuous-time Markov control processes on Polish spaces, with the infinite-horizon discounted cost criterion. Necessary and sufficient conditions are given for a control policy to be optimal and asymptotically optimal. In addition, under suitable hypotheses, it is shown that the successive approximation procedure converges in the sense that the sequence of finite-horizon optimal cost functions and the corresponding optimal control policies both converge. |
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Keywords: | nonstationary continuous-time Markov control processes discounted cost criterion successive approximations |
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