Palczewski, JA orcid.org/0000-0003-0235-8746 and Stettner, L (2017) Impulse control maximising average cost per unit time: a non-uniformly ergodic case. SIAM Journal on Control and Optimization, 55 (2). pp. 936-960. ISSN 0363-0129
Abstract
This paper studies maximization of an average cost per unit time ergodic functional over impulse strategies controlling a Feller--Markov process. The uncontrolled process is assumed to be ergodic but, unlike the extant literature, the convergence to invariant measure does not have to be uniformly geometric in total variation norm; in particular, we allow for nonuniform geometric or polynomial convergence. Cost of an impulse may be unbounded, e.g., proportional to the distance the process is shifted. We show that the optimal value does not depend on the initial state and provide optimal or $\varepsilon$-optimal strategies.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2017 Society for Industrial and Applied Mathematics. Reproduced in accordance with the publisher's self-archiving policy. |
Keywords: | impulse control; ergodic control; nonuniformly ergodic Markov process; unbounded cost |
Dates: |
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Institution: | The University of Leeds |
Academic Units: | The University of Leeds > Faculty of Engineering & Physical Sciences (Leeds) > School of Mathematics (Leeds) > Statistics (Leeds) |
Depositing User: | Symplectic Publications |
Date Deposited: | 04 Jan 2017 12:57 |
Last Modified: | 23 Jun 2023 22:20 |
Published Version: | https://doi.org/10.1137/16M1085991 |
Status: | Published |
Publisher: | Society for Industrial and Applied Mathematics |
Identification Number: | 10.1137/16M1085991 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:109981 |