“Super-overtaking” optimal policies for Markov control processes |
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Authors: | Evgueni Gordienko |
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Affiliation: | Departamento de Matematicas, Universidad Autónoma Metropolitana-I, A. Postal 55–534, 09340 México D.F., Mexico |
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Abstract: | In this paper we study the average cost optimization problem for discrete-time Markov control processes on Borel space with possibly unbounded costs. Under proper ergodicity assumptions we show the existence of stationary policies for which asymptotic (as N → ∞) behavior of some functions of N-horizon costs can be better than for overtaking optimal policies. |
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Keywords: | (Discrete-time) Markov control processes Harris recurrence Average cost optimality equation Overtaking optimality |
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