Value iteration in average cost Markov control processes on Borel spaces |
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Authors: | Raúl Montes-de-Oca Onésimo Hernández-Lerma |
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Institution: | (1) Departamento de Matemáticas, Universidad Autónoma Metropolitana-Iztapalapa, A.Postal 55534, 09340 México, D.F., Mexico;(2) Departamento de Matemáticas, CINVESTAV-IPN, A.Postal 14-740, 07000 México, D.F., Mexico |
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Abstract: | This paper deals with discrete-time Markov control processes withBorel state and control spaces, with possiblyunbounded costs andnoncompact control constraint sets, and the average cost criterion. Conditions are given for the convergence of the value iteration algorithm to the optimal average cost, and for a sequence of finite-horizon optimal policies to have an accumulation point which is average cost optimal.This research was partially supported by the Consejo Nacional de Ciencia y Tecnología (CONACyT) under grant 1332-E9206. |
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Keywords: | 93E20 90C40 |
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