Sample-Path Optimality and Variance-Minimization of Average Cost Markov Control Processes.
Onésimo Hernández-LermaOscar Vega-AmayaGuadalupe CarrascoPublished in: SIAM J. Control. Optim. (1999)
Keyphrases
- average cost
- sample path
- markov chain
- finite state
- optimal control
- policy iteration
- markov decision processes
- long run
- average reward
- infinite horizon
- finite number
- optimal policy
- multistage
- finite horizon
- asymptotic analysis
- control system
- total cost
- lost sales
- linear program
- initial state
- setup cost
- stationary distribution
- steady state
- holding cost
- dynamic programming
- stochastic process
- linear programming
- state space
- control strategy
- transition probabilities
- large deviations
- inventory models