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International conference "Stochastic Optimization and Optimal Stopping"
September 27, 2012 15:00, Moscow, Steklov Mathematical Institute of RAS
 

Plenary talks


Average-cost Markov Decision Processes with weakly continuous

Eugene A. Feinberg

Stony Brook University, USA
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Eugene A. Feinberg
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Abstract: This talk presents suffcient conditions for the existence of stationary optimal policies for average-cost Markov Decision Processes with Borel state and action sets and with weakly continuous transition probabilities. The one-step cost functions may be unbounded, and the action sets may be noncompact. The main contributions of this paper are: (i) general sufficient conditions for the existence of stationary discount-optimal and average-cost optimal policies and descriptions of properties of value functions and sets of optimal actions, (ii) a sufficient condition for the average-cost optimality of a stationary policy in the form of optimality inequalities, and (iii) approximations of average-cost optimal actions by discount-optimal actions.

Language: English

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