On the set of optimal controls for Markov chains with rewards
Karel Sladký (1974)
Kybernetika
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Karel Sladký (1974)
Kybernetika
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Onésimo Hernández-Lerma, Myriam Muñoz de Ozak (1992)
Kybernetika
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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.
Petr Mandl (1971)
Kybernetika
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