On strong average optimality of markov decision processes with unbounded costs

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Abstract

We consider average Markov decision processes on countable state space, compact action space and with unbounded costs. Under a certain penalizing condition on the cost for unstable behavior, we establish the existence of a stable stationary strategy which is strong average optimal. © 1992.

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Ghosh, M. K., & Marcus, S. I. (1992). On strong average optimality of markov decision processes with unbounded costs. Operations Research Letters, 11(2), 99–104. https://doi.org/10.1016/0167-6377(92)90040-A

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