SIAM Journal on Control and Optimization, Vol.55, No.2, 936-960, 2017
IMPULSE CONTROL MAXIMIZING AVERAGE COST PER UNIT TIME: A NONUNIFORMLY ERGODIC CASE
This paper studies maximization of an average cost per unit time ergodic functional over impulse strategies controlling a Feller-Markov process. The uncontrolled process is assumed to be ergodic but, unlike the extant literature, the convergence to invariant measure does not have to be uniformly geometric in total variation norm; in particular, we allow for nonuniform geometric or polynomial convergence. Cost of an impulse may be unbounded, e.g., proportional to the distance the process is shifted. We show that the optimal value does not depend on the initial state and provide optimal or epsilon-optimal strategies.