On a weakly Blackwell space we show how to define a Markov chain approximating problem, for the target problem. The approximating problem is proved to converge to the optimal reduced problem under different pseudometrics.
Blackwell Spaces and ϵ-Approximations of Markov Chains / G. Aletti, D. Saada. - In: INTERNATIONAL JOURNAL OF STOCHASTIC ANALYSIS. - ISSN 2090-3332. - 2011:(2011), pp. 801303.801303.1-801303.801303.23. [10.1155/2011/801303]
Blackwell Spaces and ϵ-Approximations of Markov Chains
G. AlettiPrimo
;
2011
Abstract
On a weakly Blackwell space we show how to define a Markov chain approximating problem, for the target problem. The approximating problem is proved to converge to the optimal reduced problem under different pseudometrics.
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