Asymptotic properties and optimization of some non-Markovian stochastic processes

Evgueni I. Gordienko; Antonio Garcia; Juan Ruiz de Chavez

Kybernetika (2009)

  • Volume: 45, Issue: 3, page 475-490
  • ISSN: 0023-5954

Abstract

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We study the limit behavior of certain classes of dependent random sequences (processes) which do not possess the Markov property. Assuming these processes depend on a control parameter we show that the optimization of the control can be reduced to a problem of nonlinear optimization. Under certain hypotheses we establish the stability of such optimization problems.

How to cite

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Gordienko, Evgueni I., Garcia, Antonio, and Chavez, Juan Ruiz de. "Asymptotic properties and optimization of some non-Markovian stochastic processes." Kybernetika 45.3 (2009): 475-490. <http://eudml.org/doc/37677>.

@article{Gordienko2009,
abstract = {We study the limit behavior of certain classes of dependent random sequences (processes) which do not possess the Markov property. Assuming these processes depend on a control parameter we show that the optimization of the control can be reduced to a problem of nonlinear optimization. Under certain hypotheses we establish the stability of such optimization problems.},
author = {Gordienko, Evgueni I., Garcia, Antonio, Chavez, Juan Ruiz de},
journal = {Kybernetika},
keywords = {nonmarkovian control sequence; average cost; attracting point; nonlinear optimitation; stability; non-Markovian control sequence; average cost; attracting point; nonlinear optimisation; stability},
language = {eng},
number = {3},
pages = {475-490},
publisher = {Institute of Information Theory and Automation AS CR},
title = {Asymptotic properties and optimization of some non-Markovian stochastic processes},
url = {http://eudml.org/doc/37677},
volume = {45},
year = {2009},
}

TY - JOUR
AU - Gordienko, Evgueni I.
AU - Garcia, Antonio
AU - Chavez, Juan Ruiz de
TI - Asymptotic properties and optimization of some non-Markovian stochastic processes
JO - Kybernetika
PY - 2009
PB - Institute of Information Theory and Automation AS CR
VL - 45
IS - 3
SP - 475
EP - 490
AB - We study the limit behavior of certain classes of dependent random sequences (processes) which do not possess the Markov property. Assuming these processes depend on a control parameter we show that the optimization of the control can be reduced to a problem of nonlinear optimization. Under certain hypotheses we establish the stability of such optimization problems.
LA - eng
KW - nonmarkovian control sequence; average cost; attracting point; nonlinear optimitation; stability; non-Markovian control sequence; average cost; attracting point; nonlinear optimisation; stability
UR - http://eudml.org/doc/37677
ER -

References

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