Sample path optimality for a Markov optimization problem (Q2485850)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Sample path optimality for a Markov optimization problem |
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Sample path optimality for a Markov optimization problem (English)
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5 August 2005
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A controlled Markov chain with long-term expected average cost criterion is considered. Sufficient conditions are given under which an optimal stationary policy is also asymptotically optimal with respect to the sample path cost criterion.
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Markov decision process
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Stochastic control
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Azuma's inequality
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