Occupation measures for controlled Markov processes: Characterization and optimality. (English) Zbl 0863.93086

Authors’ summary: For controlled Markov processes taking values in a Polish space, control problems with ergodic cost, infinite-horizon discounted cost and finite-horizon cost are studied. Each is posed as a convex optimization problem wherein one tries to minimize a linear functional on a closed convex set of appropriately defined occupation measures for the problem. These are characterized as solutions of a linear equation associated with the problem. This characterization is used to establish the existence of optimal Markov controls. The dual convex optimization problem is also studied.
Reviewer: W.Kliemann (Ames)


93E20 Optimal stochastic control
60J25 Continuous-time Markov processes on general state spaces
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