Convergence of the optimal values of constrained Markov control processes

Jorge Alvarez-Mena and Onésimo Hernández-Lerma

Mathematical Methods of Operations Research, 2002, vol. 55, issue 3, 484 pages

Abstract: We consider a sequence of discounted cost, constrained Markov control processes (CCPs) with countable state space, metric action set and possibly unbounded cost functions. We give conditions under which the sequence of optimal values of the CCPs converges to the optimal value of a limiting CCP, and, furthermore, the accumulation points of sequences of optimal policies for the CCPs are optimal policies for the limiting CCP. These results are obtained via an approximation theorem for general minimization problems. Copyright Springer-Verlag Berlin Heidelberg 2002

Keywords: AMS subject classification. 90C40; 90C48; 93E20.; Key words: Constrained Markov control processes; discounted cost; minimization problems in abstract spaces (search for similar items in EconPapers)
Date: 2002
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DOI: 10.1007/s001860200209

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