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Keywords:
discrete-time Markov control processes; average criterion; stability index; Prokhorov metric
discrete-time Markov control processes; average criterion; stability index; Prokhorov metric
Summary:
We study the stability of average optimal control of general discrete-time Markov processes. Under certain ergodicity and Lipschitz conditions the stability index is bounded by a constant times the Prokhorov distance between distributions of random vectors determinating the “original and the perturbated” control processes.
References:
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