Abstract
AbstractThis paper provides conditions for which the optimal finite-stage cost, divided by the number of stages, converges to the optimal long-run average cost as the number of stages goes to infinity. The main condition is based on a controllability to the origin property. The discrete-time stochastic system is linear with respect to the system state but the control possess a general structure, possibly nonlinear. To illustrate the effectiveness of the result, an application to the simultaneous state-feedback control problem is considered.
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