INFINITE LINEAR-PROGRAMMING AND MULTICHAIN MARKOV CONTROL PROCESSES IN UNCOUNTABLE SPACES

Authors
HERNANDEZLERMA O GONZALEZHERNANDEZ J
Citation
O. Hernandezlerma et J. Gonzalezhernandez, INFINITE LINEAR-PROGRAMMING AND MULTICHAIN MARKOV CONTROL PROCESSES IN UNCOUNTABLE SPACES, SIAM journal on control and optimization, 36(1), 1998, pp. 313-335
Citations number
33
Categorie Soggetti
Mathematics,"Robotics & Automatic Control",Mathematics,"Robotics & Automatic Control
Journal title
SIAM journal on control and optimization → ACNP
ISSN journal
03630129
Volume
36
Issue
1
Year of publication
1998
Pages
313 - 335
Database
ISI
SICI code
0363-0129(1998)36:1<313:ILAMMC>2.0.ZU;2-K
Abstract
In this paper we use infinite linear programming to study Markov contr ol processes in Borel spaces and the average cost criterion in the ''u nichain'' and ''multichain'' cases. Under appropriate assumptions we s how that in both cases the associated linear programs are solvable and that there is no duality gap. Moreover, conditions are given for mini mizing (respectively, maximizing) sequences for the primal (respective ly, dual) programs to converge to optimal solutions.