Local Poisson Equations Associated with Discrete-Time Markov Control Processes

Daniel Hernández Hernández () and Diego Hernández Bustos ()
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Daniel Hernández Hernández: Centro de Investigación en Matemáticas
Diego Hernández Bustos: Centro de Investigación en Matemáticas

Journal of Optimization Theory and Applications, 2017, vol. 173, issue 1, No 1, 29 pages

Abstract: Abstract This paper provides a characterization of the optimal average cost function, when the long-run (risk-sensitive) average cost criterion is used. The Markov control model has a denumerable state space with finite set of actions, and the characterization presented is given in terms of a system of local Poisson equations, which gives as a by-product the existence of an optimal stationary policy.

Keywords: Local Poisson equations; Risk sensitive; Dynamic programming; 93E20; 93C55 (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1007/s10957-017-1076-5

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