On strong average optimality of markov decision processes with unbounded costs

Authors:
Mrinal K Ghosh;Steven I Marcus
Affiliations:
Electrical Engineering Department and Systems Research Center, University of Maryland, College Park, MD 20742, USA;Electrical Engineering Department and Systems Research Center, University of Maryland, College Park, MD 20742, USA
Venue:
Operations Research Letters
Year:
1992

Citing 5
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Abstract

We consider average Markov decision processes on countable state space, compact action space and with unbounded costs. Under a certain penalizing condition on the cost for unstable behavior, we establish the existence of a stable stationary strategy which is strong average optimal.