Controlled Markov chains with constraints

Borkar, Vivek S (1990) Controlled Markov chains with constraints. In: Sadhana, 15 (4-5). pp. 405-413.

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Abstract

We consider the ergodic control of a Markov chain on a countable state space with a compact action space in presence of finitely many (say, m) ergodic constraints. Under a condition on the cost functions that penalizes instability, the existence of an optimal stable stationary strategy randomized at a maximum of m states is established using convex analytic arguments.

Item Type:	Journal Article
Additional Information:	Copyright of this article belongs to Indian Academy of Sciences.
Keywords:	Controlled Markov chains; ergodic control; control under constraints; optimal strategy; stationary strategy.
Department/Centre:	Division of Electrical Sciences > Electrical Engineering
Date Deposited:	04 Mar 2008
Last Modified:	19 Sep 2010 04:43
URI:	http://eprints.iisc.ernet.in/id/eprint/13299

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