Correction to "Recursive self-tuning control of finite Markov chains" (Applicationes Math. 24 (2) (1996), 169-188
Bayesian parameter estimation and adaptive control of Markov processes with time-averaged cost
This paper considers Bayesian parameter estimation and an associated adaptive control scheme for controlled Markov chains and diffusions with time-averaged cost. Asymptotic behaviour of the posterior law of the parameter given the observed trajectory is analyzed. This analysis suggests a "cost-biased" estimation scheme and associated self-tuning adaptive control. This is shown to be asymptotically optimal in the almost sure sense.
Correction to "The value function in ergodic control of diffusion processes with partial observations II" (Applicationes Math. 27 (2000), 455-464)
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