Markov control processes with pathwise constraints

DOI10.1007/s00186-010-0311-8zbMath1196.93101OpenAlexW2158187943MaRDI QIDQ992046

Onésimo Hernández-Lerma, Armando Felipe Mendoza-Pérez

Publication date: 8 September 2010

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-010-0311-8

zbMATH Keywords

constrained control problems(discrete-time) Markov control processesaverage reward criteriapathwise average reward

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Markov and semi-Markov decision processes (90C40) Optimality conditions for problems involving randomness (49K45)

Related Items (9)

Policy iteration algorithms for zero-sum stochastic differential games with long-run average payoff criteria ⋮ Constrained Markov decision processes in Borel spaces: from discounted to average optimality ⋮ Asymptotic Normality of Discrete-Time Markov Control Processes ⋮ Constrained stochastic games with the average payoff criteria ⋮ Markov control processes with pathwise constraints ⋮ The Lagrange and the vanishing discount techniques to controlled diffusions with cost constraints ⋮ Constrained semi-Markov decision processes with ratio and time expected average criteria in Polish spaces ⋮ The Lagrange approach to ergodic control of diffusions with cost constraints ⋮ Variance-minimization of Markov control processes with pathwise constraints

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