Displaying similar documents to “Correction to 'Recursive self-tuning control of finite Markov chains' (Applicationes Math. 24 (2) (1996), 169-188”

Recursive self-tuning control of finite Markov chains

Vivek Borkar (1997)

Applicationes Mathematicae

Similarity:

A recursive self-tuning control scheme for finite Markov chains is proposed wherein the unknown parameter is estimated by a stochastic approximation scheme for maximizing the log-likelihood function and the control is obtained via a relative value iteration algorithm. The analysis uses the asymptotic o.d.e.s associated with these.

On adaptive control of a partially observed Markov chain

Giovanni Di Masi, Łukasz Stettner (1994)

Applicationes Mathematicae

Similarity:

A control problem for a partially observable Markov chain depending on a parameter with long run average cost is studied. Using uniform ergodicity arguments it is shown that, for values of the parameter varying in a compact set, it is possible to consider only a finite number of nearly optimal controls based on the values of actually computable approximate filters. This leads to an algorithm that guarantees nearly selfoptimizing properties without identifiability conditions. The algorithm...

Estimates for perturbations of general discounted Markov control chains

Raúl Montes-de-Oca, Alexander Sakhanenko, Francisco Salem-Silva (2003)

Applicationes Mathematicae

Similarity:

We extend previous results of the same authors ([11]) on the effects of perturbation in the transition probability of a Markov cost chain for discounted Markov control processes. Supposing valid, for each stationary policy, conditions of Lyapunov and Harris type, we get upper bounds for the index of perturbations, defined as the difference of the total expected discounted costs for the original Markov control process and the perturbed one. We present examples that satisfy our conditions. ...

On the core property of the cylinder functions class in the construction of interacting particle systems

Anja Voss-Böhme (2011)

Kybernetika

Similarity:

For general interacting particle systems in the sense of Liggett, it is proven that the class of cylinder functions forms a core for the associated Markov generator. It is argued that this result cannot be concluded by straightforwardly generalizing the standard proof technique that is applied when constructing interacting particle systems from their Markov pregenerators.

Average cost Markov control processes with weighted norms: value iteration

Evgueni Gordienko, Onésimo Hernández-Lerma (1995)

Applicationes Mathematicae

Similarity:

This paper shows the convergence of the value iteration (or successive approximations) algorithm for average cost (AC) Markov control processes on Borel spaces, with possibly unbounded cost, under appropriate hypotheses on weighted norms for the cost function and the transition law. It is also shown that the aforementioned convergence implies strong forms of AC-optimality and the existence of forecast horizons.

Estimation of hidden Markov models for a partially observed risk sensitive control problem

Bernard Frankpitt, John S. Baras (1998)

Kybernetika

Similarity:

This paper provides a summary of our recent work on the problem of combined estimation and control of systems described by finite state, hidden Markov models. We establish the stochastic framework for the problem, formulate a separated control policy with risk-sensitive cost functional, describe an estimation scheme for the parameters of the hidden Markov model that describes the plant, and finally indicate how the combined estimation and control problem can be re-formulated in a framework...