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Unbounded cost Markov decision processes with limsup and liminf average criteria: new conditions

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Abstract

This paper deals with denumerable discrete-time Markov decision processes with unbounded costs. The criteria to be minimized are both of the limsup and liminf average criteria, instead of only the limsup average criterion widely used in the previous literature. We give another set of conditions under which the existence of an optimal stationary policy for the two average criteria is ensured. The results in this paper are applied to an admission control queueing model.

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Authors and Affiliations

  1. The School of Mathematics and Computational Science, Zhongshan University, Guangzhou, 510275, P. R. China

    Quanxin Zhu, Xianping Guo & Yonglong Dai

Authors
  1. Quanxin Zhu
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  2. Xianping Guo
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  3. Yonglong Dai
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Corresponding author

Correspondence to Xianping Guo.

Additional information

Manuscript received: January 2004 / Final version received: July 2004

Research supported by the Natural Science Foundations of China and Guangdong Province, by NCET and EYTP and by the Foundation of Zhongshan University Advanced Research Center.

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Zhu, Q., Guo, X. & Dai, Y. Unbounded cost Markov decision processes with limsup and liminf average criteria: new conditions. Math Meth Oper Res 61, 469–482 (2005). https://doi.org/10.1007/s001860400408

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  • DOI: https://doi.org/10.1007/s001860400408

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