LP Based Bounds for Cesaro and Abel Limits of the Optimal Values in Non-Ergodic Stochastic Systems
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In this talk, we discussed 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. It demonstrated recent results 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. See the corresponding article here.