Control of Markov chains with long-run average cost criterion: the dynamic programming equations

@article{Borkar1989ControlOM,
  title={Control of Markov chains with long-run average cost criterion: the dynamic programming equations},
  author={Vivek S. Borkar},
  journal={Siam Journal on Control and Optimization},
  year={1989},
  volume={27},
  pages={642-657}
}
  • V. Borkar
  • Published 1 May 1989
  • Mathematics
  • Siam Journal on Control and Optimization
The long-run average cost control problem for discrete time Markov chains on a countable state space is studied in a very general framework. Necessary and sufficient conditions for optimality in terms of the dynamic programming equations are given when an optimal stable stationary strategy is known to exist (e.g., for the situations studied in [Stochastic Differential Systems, Stochastic Control Theory and Applications, IMA Vol. Math. App. 10, Springer-Verlag, New York, Berlin, 1988, pp. 57–77… 
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