Abstract
Let the state space S be a Borel subset of a complete separable metric space, the action space A compact metric. Existence of stationary optimal policies is proved and a dynamic programming equation derived for general semi-Markov models under the long-run average reward criterion, focusing on it as a limiting case of optimization under discounting as the discount factor goes to one. This extends many earlier results. An example of Reed (1974) on harvesting a natural resource provides an application not covered by earlier results.
Original language | English (US) |
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Pages (from-to) | 223-242 |
Number of pages | 20 |
Journal | Journal of Statistical Planning and Inference |
Volume | 22 |
Issue number | 2 |
DOIs | |
State | Published - Jun 1989 |
Externally published | Yes |
Keywords
- Stationary optimal policy
- dynamic programming equation
- equicontinuity
- uniformity in weak convergence
ASJC Scopus subject areas
- Statistics and Probability
- Statistics, Probability and Uncertainty
- Applied Mathematics