Occupation Measures for Controlled Markov Processes: Characterization And Optimality

Bhatt, Abhay G and Borkar, VS (1996) Occupation Measures for Controlled Markov Processes: Characterization And Optimality. In: Annals of Probability, 24 (03). pp. 1531-1562.

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Abstract

For controlled Markov processes taking values in a Polish space, control problems with ergodic cost, infinite-horizon discounted cost and finite-horizon cost are studied. Each is posed as a convex optimization problem wherein one tries to minimize a linear functional on a closed convex set of appropriately defined occupation measures for the problem. These are characterized as solutions of a linear equation asssociated with the problem. This characterization is used to establish the existence of optimal Markov controls. The dual convex optimization problem is also studied.

Item Type:	Journal Article
Publication:	Annals of Probability
Publisher:	Institute of Mathametical Statistics
Additional Information:	Copyright of this article belongs to Institute of Mathametical Statistics.
Department/Centre:	Division of Electrical Sciences > Electrical Engineering
Date Deposited:	08 Jan 2010 11:16
Last Modified:	27 Feb 2019 10:26
URI:	http://eprints.iisc.ac.in/id/eprint/18978

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