Stability and singular perturbations in constrained Markov decision problems

Eitan Altman, Vladimir A. Gaitsgory

Research output: Contribution to journalArticle

10 Citations (Scopus)


We consider CMDP's (Constrained Markov Decision Problems) with the average cost criterion and a single ergodic chain, or the discounted cost with a general multichain structure. We establish new conditions for stability of the optimal value and control to changes of the parameters of the problem, such as immediate costs, transition probabilities and the discount factor. We then study singular constrained problems, for which the optimal value and controls exhibit discontinuities.

Original languageEnglish
Pages (from-to)971-975
Number of pages5
JournalIEEE Transactions on Automatic Control
Issue number6
Publication statusPublished - 1993
Externally publishedYes


Cite this