Average Optimality in Nonhomogeneous Infinite Horizon Markov Decision Processes
Mathematics of Operations Research
Brief Minimax control for discrete-time time-varying stochastic systems
Automatica (Journal of IFAC)
Notes on average Markov decision processes with a minimum-variance criterion
Operations Research Letters
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This paper deals with nonhomogeneous Markov decision processes with Borel state space and nonuniformly bounded rewards under the average criterion. First, under the minorant-type assumption we prove the existence of an appropriate solution to the optimality equations. Second, from the optimality equations we also establish the existence of e(=0)-optimal Markov policies under the additional conditions. Third, some sufficient conditions for the validity of the assumptions in this paper and several examples such as inventory/production systems are provided. Finally, as an application of the optimality equations, a rolling horizon algorithm is given.