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 Access content directly
Journal Articles Journal of Mathematical Analysis and Applications Year : 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

Abstract

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.
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Dates and versions

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

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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⟩
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