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Average cost Markov control processes with weighted norms: Value iteration. (English) Zbl 0829.93068
This paper continues the research of the authors [ibid. 23, No.2, 199-218 (1995; Zbl 0829.93070)]. With similar methods and under additional recurrence conditions the convergence of the value iteration algorithm for average cost Markov control processes is proved. It is proved that this result implies average cost optimality and the existence of forecast horizons.
Reviewer: M.Kohlmann (Bonn)

MSC:
93E20 Optimal stochastic control
90C40 Markov and semi-Markov decision processes
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