Asymptotic Evaluations of the Stability Index for a Markov Control Process with the Expected Total Discounted Reward Criterion

• 作者: Jaime Eduardo Martínez-Sánchez
• 来源期刊: 美国运筹学期刊(英文)
• 学科: 数学
• 关键词: Control Consumption-Investment Process Discrete-Time Markov Control Process Expected Total Discounted Reward Probabilistic Metrics Stability Index Estimation
• 年，卷（期）: 2021,（1）
• 页码范围: 62-85
• 页数: 24页
• 分类号: O17

摘要

In this work, for a control consumption-investment process with the discounted reward optimization criteria, a numerical estimate of the stability index is made. Using explicit formulas for the optimal stationary policies and for the value functions, the stability index is explicitly calculated and through statistical techniques its asymptotic behavior is investigated (using numerical experiments) when the discount coefficient approaches 1. The results obtained define the conditions under which an approximate optimal stationary policy can be used to control the original process.