On the Non-Uniqueness of Solutions to the Average Cost HJB for Controlled Diffusions with Near-Monotone Costs.
Ari ArapostathisPublished in: CoRR (2013)
Keyphrases
- average cost
- optimal control
- brownian motion
- markov decision processes
- long run
- infinite horizon
- control problems
- dynamic programming
- finite number
- optimal policy
- total cost
- finite state
- holding cost
- multistage
- initial state
- linear programming
- approximate dynamic programming
- markov decision chains
- control strategy
- optimal solution
- control policy
- hamilton jacobi bellman
- setup cost
- reinforcement learning
- markov decision process
- state space
- control system
- control law
- linear program
- policy iteration
- stochastic control