Strategic measures in optimal control problems for stochastic sequences

DOI10.1080/07362990008809696zbMath0973.93060OpenAlexW2011556187MaRDI QIDQ4518327

Xuerong Mao, Aleksey B. Piunovskiy

Publication date: 20 November 2000

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990008809696

zbMATH Keywords

optimal controlconvex programmingoccupation measuresfunctional constraintsdiscrete-time Markov processesdiscrete-time stochastic processesfinite mixtures of nonrandomized strategies

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Related Items (5)

Convex analytic approach to constrained discounted Markov decision processes with non-constant discount factors ⋮ Markov control processes with randomized discounted cost ⋮ Constrained discounted Markov decision processes with Borel state spaces ⋮ Convergence of Markov decision processes with constraints and state-action dependent discount factors ⋮ First passage Markov decision processes with constraints and varying discount factors

Cites Work

• Stochastic optimal control. The discrete time case
• On dynamic programming: Compactness of the space of policies
• Controlled Markov Processes with Arbitrary Numerical Criteria
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