Further Topics on Discrete-Time Markov Control Processes

Onesimo Hernandez-Lerma and Jean B. Lasserre,  Springer-Verlag, New York, 1999.

ISBN: 0-387-98694-4.


PREFACE


CHAPTER 7. Ergodicity and Poisson Equation

  • 7.1. Introduction
  • 7.2. Weighted Norms and Signed Kernels
  • A. Weighted norm spaces
  • B. Signed kernels
  • C. Contraction maps
  • 7.3. Recurrence Concepts
  • A. Irreducibility and recurrence
  • B. Invariant measures
  • C. Conditions for irreducibility and recurence
  • D. w-Geometric ergodicity
  • 7.4. Examples on w-Geometric Ergodicity
  • 7.4. Poisson's Equation
  • A. The multichain case
  • B. The unichain case
  • C. Examples

  • CHAPTER 8. Discounted Dynamic Programming with Weighted Norms

  • 8.1. Introduction
  • 8.2. The Control Model and Control Policies
  • 8.3. The Optimality Equation
  • A. Assumptions
  • B. The discounted-cost optimality equation
  • C. The dynamic programming operator
  • D. Proof of Theorem 8.3.6.
  • 8.4. Further Analysis of Value Iteration
  • A. Asymptotic discount optimality
  • B. Estimates of VI convergence
  • C. Rolling horizon procedures
  • D. Forecast horizon and elimination of non-optimal actions
  • 8.5. The Weakly Continuous Case
  • 8.6. Examples
  • 8.7. Further Remarks

  • CHAPTER 9. The Expected Total Cost Criterion

  • 9.1. Introduction
  • 9.2. Preliminaries
  • A. Extended real numbers
  • B. Integrability
  • 9.3. The Expected Total Cost
  • 9.4. Occupation Measures
  • A. Expected occupation measures
  • B. The sufficiency problem
  • 9.5. The Optimality Equation
  • A. The optimality equation
  • B. Optimality criteria
  • C. Deterministic stationary policies
  • 9.6. The Transient Case
  • A. Transient models
  • B. Optikmality conditions
  • C. Reduction to deterministic policies
  • D. The policy iteration algorithm

  • CHAPTER 10. Undiscounted-Cost Criteria

  • 10.1. Introduction
  • A. Undiscounted criteria
  • B. AC-criteria
  • C. Outline of the chapter
  • 10.2. Preliminaries
  • A. Assumptions
  • B. Corollaries
  • C. Discussion
  • 10.3. From AC-Optimality to Undiscounted Criteria
  • A. The AC-optimality inequality
  • B. The AC-optimality equation
  • C. Uniqueness of the ACOE
  • D. Bias-optimal policies
  • E. Undiscounted criteria
  • 10.4. Proof of Theorem 10.3.1
  • A. Preliminary lemmas
  • B. Completion of the proof
  • 10.5. Proof of Theorem 10.3.6.
  • A. Proof of part (a)
  • B. Proof of part (b)
  • C. Policy iteration
  • 10.6. Proof of Theorem 10.3.6.
  • 10.7. Proof of Theorem 10.3.10.
  • 10.8. Proof of Theorem 10.3.11.
  • 10.9. Examples

  • CHAPTER 11. Sample-Path Average Cost

  • 11.1. Introduction
  • A. Definitions
  • B. Outline of the Chapter
  • 11.2. Preliminaries
  • A. Positive Harris Recurrence
  • B. Limiting average variance
  • 11.3. The w-Geometrically Ergodic Case
  • A. Optimality in PI_DS
  • B. Optimality in PI
  • C. Variance Minimization
  • D. Proof of Theorem 11.3.5
  • E. Proof of Theorem 11.3.8
  • 11.4. Strictly Unbounded Costs
  • 11.5. Examples

  • CHAPTER 12. The Linear Programming Approach

  • 12.1. Introduction
  • A. Outline of the chapter
  • 12.2. Preliminaries
  • A. Dual pairs of vector spaces
  • B. Infinite linear programming,br>
  • C. Approximations of linear programs
  • D. Tightness and invariant measures
  • 12.3. Linear Programs for the AC Problem
  • A. The linear programs
  • B. Solvability of (P)
  • C. Absence of duality gap
  • D. The Farkas alternative
  • 12.4. Approximating sequences and strong duality
  • A. Minimizing sequences for (P)
  • B. Maximizing sequences for (P*)
  • 12.5. Finite LP Approximations
  • A. Aggregation
  • B. Aggregation-relaxation
  • C. Aggregation-relaxation-inner approximations
  • 12.6. Proofs of Theorems 12.5.3., 12.5.5., 12.5.7

  • REFERENCES


    ABBREVIATIONS


    GLOSSARY OF NOTATION


    INDEX