Stochastic Dynamic Programming and the Control of Queueing Systems VI: The (SEN) Assumptions and the Average Cost Optimality InequalityTextbook
Motivation
Queueing control problems (admission control, routing, service-rate selection, flow control) are naturally posed as Markov decision chains with a denumerably infinite state space, such as the number of customers in a buffer, and are usually judged by their long-run average cost per unit time. When the state space is finite, Chapter 6 of Sennott's book shows that an average cost optimal stationary policy always exists. On a countable state space this fails: Section 7.1 of the book gives examples in which no average cost optimal policy exists, and one in which no stationary policy comes within a given distance of the minimum average cost. The question addressed by this mission is under which verifiable conditions on the discounted value functions a countable-state model has a constant minimum average cost and an optimal stationary policy.
Timeline, following the book's bibliographic notes (p. 163). The book names Taylor (1965) and Derman (1966) as earlier pivotal work and Ross (1968), and his 1983 textbook, as the direct predecessor. Sennott (1989, Operations Research 37) weakened Ross's assumptions to cover models with unbounded costs, and proved the main result of Section 7.2; the (SEN) assumptions of Chapter 7 are the cleaner version of Sennott (1993). Cavazos-Cadena (1991) gave the example, adapted as Example 7.3.1 of the book, showing that under these assumptions the optimality inequality can be strict. The weaker (H*) assumptions of Section 7.7 appear, in a slightly different form, in Sennott (1995). Part (iv) of Theorem 7.2.3 is new in the book.
Setting
A Markov decision chain (MDC) has a countable state space , for each state a finite nonempty action set , a nonnegative finite cost , and transition probabilities with . A policy chooses the action at time at random according to a distribution that may depend on the whole history ; a stationary policy always chooses in state .
For an initial state , the -horizon cost is , the average cost is , and the minimum average cost is over all policies. A policy is average cost optimal if . For the discounted value function is . All these quantities lie in .
Fix a distinguished state and put . The (SEN) assumptions are:
- (SEN1) is bounded for ;
- (SEN2) there is a nonnegative finite function with for all and ;
- (SEN3) there is a nonnegative finite constant with for all and .
A limit function is a pointwise limit of along some sequence . If is a stationary policy realizing the discount optimality equation , a limit point is a stationary policy with for large , for each , along some .
Formalization targets
Goal: Theorem 7.2.3
Under (SEN), there is a finite constant independent of ; limit functions exist, satisfy and the average cost optimality inequality (ACOI)
every stationary policy realizing the minimum is average cost optimal with and ; every limit point of discount optimal stationary policies is average cost optimal and satisfies the corresponding inequality for an associated limit function; and the average cost of any optimal policy is a limit, not only a limit supremum.
Milestones
- Proposition 7.1.1: finitely many initial transitions with finite cost do not change .
- Lemma 7.2.1: a bounded-below solution of the ACOI inequality for a stationary gives .
- Proposition B.6: a sequence of functions squeezed between and on a countable set has a pointwise convergent subsequence.
- Proposition 7.2.4: (SEN) does not depend on the choice of .
- Proposition 7.7.1: (SEN) (H*) (H).
- Proposition 7.7.2: the conclusions of Theorem 7.2.3 hold under (H), with a state-dependent lower bound .
Significance
Theorem 7.2.3 is the existence theorem the rest of Chapter 7 builds on (p. 128): the ACOE results of Section 7.4, the (BOR) and (CAV) sufficient conditions of Section 7.5, and the worked queueing models of Section 7.6 all work under (SEN) and invoke it. It justifies computing an average cost optimal policy for a queueing model as a limit of discount optimal policies, and it shows that the minimum average cost is the Abelian limit of the normalized discounted value.
The results are proved in the book and in Sennott (1989, 1993, 1995), but none of them has a machine-checked proof: Mathlib has no Markov decision processes, and the platform's average cost results concern finite state spaces or Borel models with different assumptions. The formalization produces a general-policy, countable-state MDC development with extended-real values, reusable by the later missions of this series.
Difficulty
On a finite state space the relative value functions are bounded and the Abelian limit can be controlled directly. Here is bounded above only by a function that may be unbounded, so passing to the limit in the discounted optimality equation cannot use dominated convergence, and in general only an inequality survives in the limit; Example 7.3.1 shows that the inequality in the ACOI can be strict. Showing that a policy realizing the ACOI is optimal requires control of for a function that is unbounded above, and part (iv) requires comparing the limit inferior and limit superior of Cesàro averages for an arbitrary, possibly history-dependent optimal policy.
Formalization scope
The state space is any countable type ([Countable S]); actions form a type with finite nonempty Finset action sets; costs are ℝ≥0; transition probabilities, costs over time and value functions are ℝ≥0∞. Policies are general: randomized and history dependent, with histories encoded as finite state and action sequences and the process law built by an explicit recursive product. Finite horizon costs have terminal cost , as the chapter prescribes.
The relative value is computed in EReal, never through a truncated real subtraction: a state with gives , so (SEN2) cannot hold through a junk value, and (SEN1) is a bound by a finite constant that itself forces . Sums and expectations of real functions are extended reals, computed as positive part minus negative part; they are never Bochner integrals and never default to when not summable. The limit is the filter 𝓝[<] 1. Limit functions and limit points follow Definition 7.2.2 literally, over arbitrary sequences in , and the (SEN), (H), (H*) sets are predicates carrying their witnesses and .
A development that bounds only as a free function, rather than the one built from the infimum over all policies, or that quantifies only over stationary policies in , proves a different and weaker theorem and does not count.
Needed infrastructure: the law of the controlled process under a general policy, monotone and Fatou-type limit interchanges for countable sums, the Abelian inequality (Proposition 6.1.1 of the book), and the existence and optimality of discount optimal stationary policies (Theorem 4.1.4). The MDC layer and these two results are shared with other missions of the series; contributions to them are welcome.
Selected references
- L. I. Sennott, Stochastic Dynamic Programming and the Control of Queueing Systems, Wiley, 1999, Chapter 7 (pp. 127–166) and Appendix B. https://doi.org/10.1002/9780470317037
- L. I. Sennott, Average cost optimal stationary policies in infinite state Markov decision processes with unbounded costs, Operations Research 37 (1989) 626–633. https://doi.org/10.1287/opre.37.4.626
- L. I. Sennott, The average cost optimality equation and critical number policies, Probability in the Engineering and Informational Sciences 7 (1993). (Cited in the book's bibliography, p. 321.)
- L. I. Sennott, Another set of conditions for average optimality in Markov control processes, Systems & Control Letters 24 (1995) 147–151. (Cited in the book's bibliography.)
- R. Cavazos-Cadena, A counterexample on the optimality equation in Markov decision chains with the average cost criterion, Systems & Control Letters 16 (1991) 387–392. (Cited in the book's bibliography.)
- S. M. Ross, Non-discounted denumerable Markovian decision models, Annals of Mathematical Statistics 39 (1968) 412–423. (Cited in the book's bibliography.)
- H. M. Taylor, Markovian sequential replacement processes, Annals of Mathematical Statistics 36 (1965) 1677–1694. (Cited in the book's bibliography.)
- E. A. Feinberg and Y. Liang, On the optimality equation for average cost Markov decision processes and its validity for inventory control; formalized on Prove2Me in the mission of the same name (Borel state spaces, a different model).