Approximation of Constrained Average Cost Markov Control Processes | IEEE Conference Publication | IEEE Xplore

Approximation of Constrained Average Cost Markov Control Processes


Abstract:

This paper considers discrete-time constrained Markov control processes (MCPs) under the long-run expected average cost optimality criterion. For Borel state and action s...Show More

Abstract:

This paper considers discrete-time constrained Markov control processes (MCPs) under the long-run expected average cost optimality criterion. For Borel state and action spaces a two-step method is presented to numerically approximate the optimal value of this constrained MCPs. The proposed method employs the infinite-dimensional linear programming (LP) representation of the constrained MCPs. In particular, we establish a bridge from the infinite-dimensional LP characterization to a finite LP consisting of a first asymptotic step and a second step that provides explicit bounds on the approximation error. Finally, the applicability and performance of the theoretical results are demonstrated on an LQG example.
Date of Conference: 15-17 December 2014
Date Added to IEEE Xplore: 12 February 2015
ISBN Information:
Print ISSN: 0191-2216
Conference Location: Los Angeles, CA, USA

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