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Markov control processes with pathwise constraints

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  • Armando Mendoza-Pérez
  • Onésimo Hernández-Lerma

Abstract

This paper deals with discrete-time Markov control processes in Borel spaces, with unbounded rewards. The criterion to be optimized is a long-run sample-path (or pathwise) average reward subject to constraints on a long-run pathwise average cost. To study this pathwise problem, we give conditions for the existence of optimal policies for the problem with “expected” constraints. Moreover, we show that the expected case can be solved by means of a parametric family of optimality equations. These results are then extended to the problem with pathwise constraints. Copyright Springer-Verlag 2010

Suggested Citation

  • Armando Mendoza-Pérez & Onésimo Hernández-Lerma, 2010. "Markov control processes with pathwise constraints," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 71(3), pages 477-502, June.
    • Handle: RePEc:spr:mathme:v:71:y:2010:i:3:p:477-502
    DOI: 10.1007/s00186-010-0311-8
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    References listed on IDEAS

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