New Average Optimality Conditions for Semi-Markov Decision Processes in Borel Spaces

Qingda Wei () and Xianping Guo ()
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Qingda Wei: Sun Yat-Sen University
Xianping Guo: Sun Yat-Sen University

Journal of Optimization Theory and Applications, 2012, vol. 153, issue 3, No 10, 709-732

Abstract: Abstract This paper deals with semi-Markov decision processes under the average expected criterion. The state and action spaces are Borel spaces, and the cost/reward function is allowed to be unbounded from above and from below. We give another set of conditions, under which the existence of an optimal (deterministic) stationary policy is proven by a new technique of two average optimality inequalities. Our conditions are slightly weaker than those in the existing literature, and some new sufficient conditions for the verifications of our assumptions are imposed on the primitive data of the model. Finally, we illustrate our results with three examples.

Keywords: Semi-Markov decision processes; Average cost criterion; New optimality condition; Average optimality two-inequality approach; Optimal stationary policy (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1007/s10957-012-9986-8

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