Bhatt, Abhay G and Borkar, Vivek S (1996) Occupation Measures for Controlled Markov Processes: Characterization And Optimality. In: Annals of Probability, 24 (03). pp. 1531-1562.
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Abstract
For controlled Markov processes taking values in a Polish space, control problems with ergodic cost, infinite-horizon discounted cost and finite-horizon cost are studied. Each is posed as a convex optimization problem wherein one tries to minimize a linear functional on a closed convex set of appropriately defined occupation measures for the problem. These are characterized as solutions of a linear equation asssociated with the problem. This characterization is used to establish the existence of optimal Markov controls. The dual convex optimization problem is also studied.
| Item Type: | Journal Article |
|---|---|
| Additional Information: | Copyright of this article belongs to Institute of Mathametical Statistics. |
| Department/Centre: | Division of Electrical Sciences > Electrical Engineering |
| Date Deposited: | 08 Jan 2010 11:16 |
| Last Modified: | 19 Sep 2010 05:26 |
| URI: | http://eprints.iisc.ernet.in/id/eprint/18978 |
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