Discounted cost optimality problem: stability with respect to weak metrics

Evgueni Gordienko (), Enrique Lemus-Rodríguez () and Raúl Montes- de-Oca ()

Mathematical Methods of Operations Research, 2008, vol. 68, issue 1, 77-96

Abstract: We find inequalities to estimate the stability (robustness) of a discounted cost optimization problem for discrete-time Markov control processes on a Borel state space. The one stage cost is allowed to be unbounded. Unlike the known results in this area we consider a perturbation of transition probabilities measured by the Kantorovich metric, closely related to the weak convergence. The results obtained make possible to estimate the vanishing rate of the stability index when approximation is made through empirical measures. Copyright Springer-Verlag 2008

Keywords: Discrete-time Markov control process; Total discounted cost; Stability inequalities; Kantorovich metric; Empirical measure (search for similar items in EconPapers)
Date: 2008
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DOI: 10.1007/s00186-007-0171-z

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