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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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