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Displaying similar documents to “The value function in ergodic control of diffusion processes with partial observations II”

Ergodic control of Markov processes with mixed observation structure

Łukasz Stettner

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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.....................................

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.

Deterministic optimal policies for Markov control processes with pathwise constraints

Armando F. Mendoza-Pérez, Onésimo Hernández-Lerma (2012)

Applicationes Mathematicae

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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...