Adaptive control for a jump linear system with quadratic cost
Adam Czornik (2004)
Control and Cybernetics
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Displaying similar documents to “Adaptive control of discrete time Markov processes by the large deviations method”
Adaptive control for a jump linear system with quadratic cost
Bayesian parameter estimation and adaptive control of Markov processes with time-averaged cost
V. Borkar, S. Associate (1998)
Applicationes Mathematicae
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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.
Ergodic control of partially observed Markov processes with equivalent transition probabilities
Łukasz Stettner (1993)
Applicationes Mathematicae
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Optimal control with long run average cost functional of a partially observed Markov process is considered. Under the assumption that the transition probabilities are equivalent, the existence of the solution to the Bellman equation is shown, with the use of which optimal strategies are constructed.
Necessary and sufficient optimality conditions for average reward of controlled Markov chains
Karel Sladký (1973)
Kybernetika
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On the set of optimal controls for Markov chains with rewards
Karel Sladký (1974)
Kybernetika
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Sample-path average cost optimality for semi-Markov control processes on Borel spaces: unbounded costs and mean holding times
Oscar Vega-Amaya, Fernando Luque-Vásquez (2000)
Applicationes Mathematicae
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We deal with semi-Markov control processes (SMCPs) on Borel spaces with unbounded cost and mean holding time. Under suitable growth conditions on the cost function and the mean holding time, together with stability properties of the embedded Markov chains, we show the equivalence of several average cost criteria as well as the existence of stationary optimal policies with respect to each of these criteria.
On the adaptive control of countable Markov chains
Petr Mandl (1979)
Banach Center Publications
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Large and moderate deviations for the local time of a recurrent Markov chain on
N. Gantert, O. Zeitouni (1998)
Annales de l'I.H.P. Probabilités et statistiques
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