LP based upper and lower bounds for Cesaro and Abel limits of the optimal values in problems of control of stochastic discrete time systems
Published in Journal of Mathematical Analysis and Applications, 2022
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 Cesaro 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.
Recommended citation: Konstantin Avrachenkov, Vladimir Gaitsgory, Lucas Gamertsfelder. (2022). "LP based upper and lower bounds for Cesaro and Abel limits of the optimal values in problems of control of stochastic discrete time systems." Journal of Mathematical Analysis and Applications. 512(1).
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