Robustness inequality for Markov control processes with unbounded costs

摘要

The paper discusses the robustness of discrete-time Markov control processes whose transition probabilities are known up to certain degree of accuracy. Upper bounds of increase of a discounted cost are derived when using an optimal control policy of the approximating process in order to control the original one. Bounds are given in terms of weighted total variation distance between transition probabilities. They hold for processes on Borel spaces with unbounded one-stage costs functions. (C) 1998 Elsevier Science B.V. All rights reserved. [References: 17]