4. Infinite Horizon Discounted Cost Optimization

  1. Linn I. Sennott

Published Online: 27 MAY 2008

DOI: 10.1002/9780470317037.ch4

Stochastic Dynamic Programming and the Control of Queueing Systems

Stochastic Dynamic Programming and the Control of Queueing Systems

How to Cite

Sennott, L. I. (1998) Infinite Horizon Discounted Cost Optimization, in Stochastic Dynamic Programming and the Control of Queueing Systems, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9780470317037.ch4

Author Information

  1. Illinois State University

Publication History

  1. Published Online: 27 MAY 2008
  2. Published Print: 16 SEP 1998

ISBN Information

Print ISBN: 9780471161202

Online ISBN: 9780470317037

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Keywords:

  • value function;
  • optimal stationary policy;
  • infinite horizon discounted cost optimization;
  • partial sums;
  • non-negative solution

Summary

The prelims comprise:

  • Infinite Horizon Discounted Cost Optimality Equation

  • Solutions to the Optimality Equation

  • Convergence of Finite Horizon Value Functions

  • Characterization of Optimal Policies

  • Analytic Properties of the Value Function

  • ASM for the Infinite Horizon Discounted Case

  • When Does DC(a) Hold?