Sample path optimality for a Markov optimization problem

F.Y. Hunt

Stochastic Processes and their Applications, 2005, vol. 115, issue 5, 769-779

Abstract: We study a unichain Markov decision process i.e. a controlled Markov process whose state process under a stationary policy is an ergodic Markov chain. Here the state and action spaces are assumed to be either finite or countable. When the state process is uniformly ergodic and the immediate cost is bounded then a policy that minimizes the long-term expected average cost also has an nth stage sample path cost that with probability one is asymptotically less than the nth stage sample path cost under any other non-optimal stationary policy with a larger expected average cost. This is a strengthening in the Markov model case of the a.s. asymptotically optimal property frequently discussed in the literature.

Keywords: Markov; decision; process; Stochastic; control; Azuma's; inequality (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (2)

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