A new condition for the existence of optimal stationary policies in average cost Markov decision processes

Authors:
Linn I. Sennott
Affiliations:
Department of Mathematics, Illinois State University, Normal, IL 61761, USA
Venue:
Operations Research Letters
Year:
1986

Citing 1
Cited 1

Introduction to Stochastic Dynamic Programming: Probability and Mathematical

Introduction to Stochastic Dynamic Programming: Probability and Mathematical

Comparing recent assumptions for the existence of average optimal stationary policies

Operations Research Letters

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Abstract

Discrete time countable state Markov decision processes with finite decision sets and bounded costs are considered. Conditions are given under which an unbounded solution to the average cost optimality equation exists and yields an optimal stationary policy. A new form of the optimality equation is derived for the case in which every stationary policy gives rise to an ergodic Markov chain.