LP Based Upper and Lower Bounds for Cesàro and Abel Limits of the Optimal Values in Problems of Control of Stochastic Discrete Time Systems - Inria - Institut national de recherche en sciences et technologies du numérique Accéder directement au contenu
Article Dans Une Revue Journal of Mathematical Analysis and Applications Année : 2022

LP Based Upper and Lower Bounds for Cesàro and Abel Limits of the Optimal Values in Problems of Control of Stochastic Discrete Time Systems

Résumé

In this paper, we study asymptotic properties of problems of control of stochastic discrete time systems (also known as Markov decision processes) with time averaging and time discounting optimality criteria, and we establish that the Cesàro and Abel limits of the optimal values in such problems can be evaluated with the help of a certain infinite-dimensional linear programming problem and its dual.
Fichier principal
Vignette du fichier
discrete stochastic-20220308_authors.pdf (617.11 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)

Dates et versions

hal-03601283 , version 1 (08-03-2022)

Identifiants

Citer

Konstantin Avrachenkov, Vladimir Gaitsgory, Lucas Gamertsfelder. LP Based Upper and Lower Bounds for Cesàro and Abel Limits of the Optimal Values in Problems of Control of Stochastic Discrete Time Systems. Journal of Mathematical Analysis and Applications, 2022, 512 (1), pp.126121. ⟨10.1016/j.jmaa.2022.126121⟩. ⟨hal-03601283⟩
26 Consultations
42 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More