Author(s)

Jaime Eduardo Martínez-Sánchez

Departamento de Ciencias del Tecnológico de Monterrey, Campus Monterrey (ITESM-CM), Ciudad de Monterrey, N.L., México.

In this work, for a control consumption-investment process with the discounted reward optimization criteria, a numerical estimate of the stability index is made. Using explicit formulas for the optimal stationary policies and for the value functions, the stability index is explicitly calculated and through statistical techniques its asymptotic behavior is investigated (using numerical experiments) when the discount coefficient approaches 1. The results obtained define the conditions under which an approximate optimal stationary policy can be used to control the original process.

Control Consumption-Investment Process, Discrete-Time Markov Control Process, Expected Total Discounted Reward, Probabilistic Metrics, Stability Index Estimation

Martínez-Sánchez, J. (2021) Asymptotic Evaluations of the Stability Index for a Markov Control Process with the Expected Total Discounted Reward Criterion. American Journal of Operations Research, 11, 62-85. doi: 10.4236/ajor.2021.111004.