Average cost Markov control processes with weighted norms: value iteration
Volume 23 / 1995
Applicationes Mathematicae 23 (1995), 219-237
DOI: 10.4064/am-23-2-219-237
Abstract
This paper shows the convergence of the value iteration (or successive approximations) algorithm for average cost (AC) Markov control processes on Borel spaces, with possibly unbounded cost, under appropriate hypotheses on weighted norms for the cost function and the transition law. It is also shown that the aforementioned convergence implies strong forms of AC-optimality and the existence of forecast horizons.
