Policy iteration for average cost Markov control processes on Borel spaces
type: Item
instance of: scholarly article
title: Policy iteration for average cost Markov control processes on Borel spaces
zbMATH Open document ID: 0872.93080
DOI: 10.1023/A:1005781013253
author: Onésimo Hernández-Lerma
author: Jean B. Lasserre
published in: Acta Applicandae Mathematicae
publication date: 1997-10-13T00:00:00Z
review text: Howard's algorithm for the average cost problem of discrete time Markov control processes (MPC) with Borel state and action spaces, and possibly unbounded cost is studied. Two classes of MPC's on Borel spaces are presented for which the policy iteration algorithm (PIA) converges. (i) restricted growth unbounded cost, compact control constraint sets and strong ergodicity, (ii) strictly unbounded cost, non-compact control constraint sets. Conditions are given under which the PIA converges to a solution of the average cost optimality equation, thus giving the optimal cost and an optimal stationary control policy. An example illustrates the result.
reviewed by: Michael Kohlmann
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 90C40
zbMATH DE Number: 1019633
zbMATH Keywords: Howard's algorithm
zbMATH Keywords: average cost problem
zbMATH Keywords: discrete time Markov control processes
zbMATH Keywords: policy iteration algorithm
MaRDI profile type: Publication
full work available at URL: a:1005781013253
OpenAlex ID: W2113380613
description: scientific article; zbMATH DE number 1019633