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The Average Cost Optimality Equation and Critical Number Policies

Published online by Cambridge University Press:  27 July 2009

Linn I. Sennott
Linn I. Sennott
Affiliation:
Department of Mathematics, Illinois State University, Normal, Illinois 61761
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Abstract

We consider a Markov decision chain with countable state space, finite action sets, and nonnegative costs. Conditions for the average cost optimality inequality to be an equality are derived. This extends work of Cavazos-Cadena [8]. It is shown that an optimal stationary policy must satisfy the optimality equation at all positive recurrent states. Structural results on the chain induced by an optimal stationary policy are derived. The results are employed in two examples to prove that any optimal stationary policy must be of critical number form.

Information

Type
Research Article
Information
Probability in the Engineering and Informational Sciences , Volume 7 , Issue 1 , January 1993 , pp. 47 - 67
Copyright
Copyright © Cambridge University Press 1993

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