Optimal control by random sequences with constraints (Q1177828)

Controllable stochastic sequences with countable sets of states and controls are considered. The main results concern the case when the space of admissible strategies has the form of a compact convex set. Then the considered optimization problem becomes equivalent to some linear programming problem determined on some limit sets of admissible strategies. Using this, the question about the existence of optimal strategies is researched and a strategy class sufficient for solving the optimal control problem is described.