Optimal control problem regularization for the Markov process with finite number of states and constraints

Abstract

The optimal control problem is considered for a system given by the Markov chain with integral constraints. It is shown that the solution to the optimal control problem on the set of all predictable controls satisfies Markov property. This optimal Markov control can be obtained as a solution of the corresponding dual problem (in case if the regularity condition holds) or (in other case) by means of proposed regularization method. The problems arising due to the system nonregularity along with the way to cope with those problems are illustrated by an example of optimal control problem for a single channel queueing system.