Displaying similar documents to “Necessary and sufficient optimality conditions for average reward of controlled Markov chains”

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.