Publication Cover
Optimization
A Journal of Mathematical Programming and Operations Research
Volume 64, 2015 - Issue 2
145
Views
8
CrossRef citations to date
0
Altmetric
Articles

The Lagrange approach to ergodic control of diffusions with cost constraints

, &
Pages 179-196 | Received 04 Oct 2011, Accepted 25 Sep 2012, Published online: 05 Dec 2012

References

  • Arapostathis , A and Borkar , VS . 2010 . Uniform recurrence properties of controlled diffusions and applications to optimal control . SIAM J. Control Optim. , 48 : 4181 – 4223 .
  • Borkar , VS and Ghosh , M . 1990 . Controlled diffusions with constraints . J. Math. Anal. Appl. , 152 : 88 – 108 .
  • Dufour , F and Stockbridge , R . 2012 . On the existence of strict optimal controls for constrained, controlled Markov processes in continuous-time . Stochastics , 84 : 55 – 78 .
  • Glynn , PW and Meyn , SP . 1996 . A Lyapunov bound for solutions of the Poisson equation . Ann. Probab. , 24 : 916 – 931 .
  • Haussmann , UG and Lepeltier , JP . 1990 . On the existence of optimal controls . SIAM J. Control Optim. , 28 : 851902
  • Hernández-Lerma , O , González-Hernández , J and López-Martínez , RR . 2003 . Constrained average cost Markov control processes in Borel spaces . SIAM. J. Control Optim. , 42 : 442 – 468 .
  • Jasso-Fuentes , H and Hernández-Lerma , O . 2008 . Characterizations of overtaking optimality for controlled diffusion processes . Appl. Math. Optim. , 57 : 349 – 369 .
  • Mendoza-Pérez , AF and Hernández-Lerma , O . 2010 . Markov control processes with pathwise constraints . Math. Methods Oper. Res. , 71 : 477 – 502 .
  • Meyn , SP and Tweedie , RL . 1993 . Stability of Markovian processes III: Foster-Lyapunov criteria for continuous-time processes . Adv. Appl. Prob. , 25 : 518 – 548 .
  • Prieto-Rumeau , T and Hernández-Lerma , O . 2008 . Ergodic control of continuous-time Markov chains with pathwise constraints . SIAM J. Control Optim. , 47 : 1888 – 1908 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.