A counterexample on the optimality equation in Markov decision chains with the average cost criterion

Abstract

We consider Markov decision processes with denumerable state space and finite control sets; the performance index of a control policy is a long-run expected average cost criterion and the cost function is bounded below. For these models, the existence of average optimal stationary policies was recently established in [11] under very general assumptions. Such a result was obtained via an optimality inequality. Here, we use a simple example to prove that the conditions in [11] do not imply the existence of a solution to the average cost optimality equation.