Markov control processes with pathwise constraints |
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Authors: | Armando F Mendoza-Pérez Onésimo Hernández-Lerma |
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Institution: | 1. Universidad Politécnica de Chiapas, Calle Eduardo J. Selvas S/N, Tuxtla Gutiérrez, Chiapas, Mexico 2. Mathematics Department, CINVESTAV-IPN, A. Postal 14-740, Mexico, DF, 07000, Mexico
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Abstract: | This paper deals with discrete-time Markov control processes in Borel spaces, with unbounded rewards. The criterion to be
optimized is a long-run sample-path (or pathwise) average reward subject to constraints on a long-run pathwise average cost.
To study this pathwise problem, we give conditions for the existence of optimal policies for the problem with “expected” constraints.
Moreover, we show that the expected case can be solved by means of a parametric family of optimality equations. These results
are then extended to the problem with pathwise constraints. |
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Keywords: | |
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