Controlled diffusion processes.
Borkar, Vivek S. (2005)
Probability Surveys [electronic only]
Similarity:
The search session has expired. Please query the service again.
The search session has expired. Please query the service again.
The search session has expired. Please query the service again.
The search session has expired. Please query the service again.
The search session has expired. Please query the service again.
The search session has expired. Please query the service again.
Borkar, Vivek S. (2005)
Probability Surveys [electronic only]
Similarity:
Łukasz Stettner
Similarity:
CONTENTS1. Introduction........................................................................................................ 52. Preliminary results and assumptions.................................................................. 73. Approximation of the invariant measure.............................................................. 144. Construction of nearly optimal control functions................................................ 24 4.1. Approximation of admissible control functions.....................................
Ocone, Daniel, Weerasinghe, Ananda (2003)
Electronic Journal of Probability [electronic only]
Similarity:
Runolfsson, Thordur (2000)
Mathematical Problems in Engineering
Similarity:
Peskir, Goran (2005)
Journal of Applied Mathematics and Stochastic Analysis
Similarity:
Masatoshi Fujisaki (1979)
Séminaire de probabilités de Strasbourg
Similarity:
Saebi, Nasrollah (2004)
Bulletin of the Malaysian Mathematical Sciences Society. Second Series
Similarity:
V. Borkar, S. Associate (1998)
Applicationes Mathematicae
Similarity:
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.
Armando F. Mendoza-Pérez, Onésimo Hernández-Lerma (2012)
Applicationes Mathematicae
Similarity:
This paper deals with discrete-time Markov control processes in Borel spaces with unbounded rewards. Under suitable hypotheses, we show that a randomized stationary policy is optimal for a certain expected constrained problem (ECP) if and only if it is optimal for the corresponding pathwise constrained problem (pathwise CP). Moreover, we show that a certain parametric family of unconstrained optimality equations yields convergence properties that lead to an approximation scheme which...
Jack, Andrew, Zervos, Mihail (2006)
Journal of Applied Mathematics and Stochastic Analysis
Similarity:
Karel Sladký (1973)
Kybernetika
Similarity: