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  1. Mathematical Methods of Operations Research
  2. Mathematical Methods of Operations Research : Volume 71
  3. Mathematical Methods of Operations Research : Volume 71, Issue 3, June 2010
  4. Markov control processes with pathwise constraints
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Mathematical Methods of Operations Research : Volume 85
Mathematical Methods of Operations Research : Volume 84
Mathematical Methods of Operations Research : Volume 83
Mathematical Methods of Operations Research : Volume 82
Mathematical Methods of Operations Research : Volume 81
Mathematical Methods of Operations Research : Volume 80
Mathematical Methods of Operations Research : Volume 79
Mathematical Methods of Operations Research : Volume 78
Mathematical Methods of Operations Research : Volume 77
Mathematical Methods of Operations Research : Volume 76
Mathematical Methods of Operations Research : Volume 75
Mathematical Methods of Operations Research : Volume 74
Mathematical Methods of Operations Research : Volume 73
Mathematical Methods of Operations Research : Volume 72
Mathematical Methods of Operations Research : Volume 71
Mathematical Methods of Operations Research : Volume 71, Issue 3, June 2010
Sensitivity analysis and optimal ultimately stationary deterministic policies in some constrained discounted cost models
Solving a class of variational inequalities with inexact oracle operators
Comparison and robustification of Bayes and Black-Litterman models
Markov control processes with pathwise constraints
A dual approach to multiple exercise option problems under constraints
On probabilistic constraints induced by rectangular sets and multivariate normal distributions
Optimal investment strategies with a reallocation constraint
Mathematical Methods of Operations Research : Volume 71, Issue 2, April 2010
Mathematical Methods of Operations Research : Volume 71, Issue 1, February 2010
Mathematical Methods of Operations Research : Volume 70
Mathematical Methods of Operations Research : Volume 69
Mathematical Methods of Operations Research : Volume 68
Mathematical Methods of Operations Research : Volume 67
Mathematical Methods of Operations Research : Volume 66
Mathematical Methods of Operations Research : Volume 65
Mathematical Methods of Operations Research : Volume 64
Mathematical Methods of Operations Research : Volume 63
Mathematical Methods of Operations Research : Volume 62
Mathematical Methods of Operations Research : Volume 61
Mathematical Methods of Operations Research : Volume 60
Mathematical Methods of Operations Research : Volume 59
Mathematical Methods of Operations Research : Volume 58
Mathematical Methods of Operations Research : Volume 57
Mathematical Methods of Operations Research : Volume 56
Mathematical Methods of Operations Research : Volume 55
Mathematical Methods of Operations Research : Volume 54
Mathematical Methods of Operations Research : Volume 53
Mathematical Methods of Operations Research : Volume 52
Mathematical Methods of Operations Research : Volume 51
Mathematical Methods of Operations Research : Volume 50
Mathematical Methods of Operations Research : Volume 49
Mathematical Methods of Operations Research : Volume 48
Mathematical Methods of Operations Research : Volume 47
Mathematical Methods of Operations Research : Volume 46
Mathematical Methods of Operations Research : Volume 45

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Markov control processes with pathwise constraints

Content Provider Springer Nature Link
Author Hernández Lerma, Onésimo Mendoza Pérez, Armando F.
Copyright Year 2010
Abstract This paper deals with discrete-time Markov control processes in Borel spaces, with unbounded rewards. The criterion to be optimized is a long-run sample-path (or pathwise) average reward subject to constraints on a long-run pathwise average cost. To study this pathwise problem, we give conditions for the existence of optimal policies for the problem with “expected” constraints. Moreover, we show that the expected case can be solved by means of a parametric family of optimality equations. These results are then extended to the problem with pathwise constraints.
Ending Page 502
Page Count 26
Starting Page 477
File Format PDF
ISSN 14322994
e-ISSN 14325217
Journal Mathematical Methods of Operations Research
Issue Number 3
Volume Number 71
Language English
Publisher Springer-Verlag
Publisher Date 2010-06-04
Publisher Place Berlin, Heidelberg
Access Restriction One Nation One Subscription (ONOS)
Subject Keyword Calculus of Variations and Optimal Control; Optimization Optimal stochastic control Business/Management Science Operations Research/Decision Theory Pathwise average reward Average reward criteria (discrete-time) Markov control processes Constrained control problems Markov and semi-Markov decision processes
Content Type Text
Resource Type Article
Subject Management Science and Operations Research Mathematics Software
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