Zobrazeno 1 - 6
of 6
pro vyhledávání: '"Armando F. Mendoza-Pérez"'
Publikováno v:
Mathematical Methods of Operations Research. 84:489-525
In this paper we study discrete-time Markov decision processes in Borel spaces with a finite number of constraints and with unbounded rewards and costs. Our aim is to provide a simple method to compute constrained optimal control policies when the pa
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fdc1a9ae1f803f941c8df9f08f5cd0a4
https://doi.org/10.1007/s00186-016-0551-3
https://doi.org/10.1007/s00186-016-0551-3
Publikováno v:
Journal of Mathematical Analysis and Applications. 437:999-1035
In this paper we introduce two useful methods to compute optimal control policies for either the discounted or the average payoff criterion with cost constraints when the dynamic system evolves as a n -dimensional diffusion processes. As for the attr
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1a6be85e673030aae0bf4c826c45c350
https://doi.org/10.1016/j.jmaa.2016.01.036
https://doi.org/10.1016/j.jmaa.2016.01.036
Publikováno v:
Optimization. 64:179-196
This article concerns n-dimensional controlled diffusion processes. The main problem is to maximize a certain long-run average reward (also known as an ergodic reward) in such a way that a given long-run average cost is bounded above by a constant. U
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f5e5f4316e0c05e9ae3301c87d068910
https://doi.org/10.1080/02331934.2012.736992
https://doi.org/10.1080/02331934.2012.736992
Publikováno v:
Optimization. 61:1427-1447
This article is concerned with the limiting average variance for discrete-time Markov control processes in Borel spaces, subject to pathwise constraints. Under suitable hypotheses we show that within the class of deterministic stationary optimal poli
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3d0e7cd94feb779b9fb3da2bfd48d0ad
https://doi.org/10.1080/02331934.2011.565762
https://doi.org/10.1080/02331934.2011.565762
Publikováno v:
Journal of Applied Probability. 47:778-795
In this paper we study the asymptotic normality of discrete-time Markov control processes in Borel spaces, with possibly unbounded cost. Under suitable hypotheses, we show that the cost sequence is asymptotically normal. As a special case, we obtain
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1811394f1e43eada8979bc793aabf235
https://doi.org/10.1239/jap/1285335409
https://doi.org/10.1239/jap/1285335409
Publikováno v:
Mathematical Methods of Operations Research. 71:477-502
This paper deals with discrete-time Markov control processes in Borel spaces, with unbounded rewards. The criterion to be optimized is a long-run sample-path (or pathwise) average reward subject to constraints on a long-run pathwise average cost. To
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8fa0252aaa6ee1baa83c43a6ea7211a6
https://doi.org/10.1007/s00186-010-0311-8
https://doi.org/10.1007/s00186-010-0311-8