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Estimates for perturbations of average Markov decision processes with a minimal state and upper bounded by stochastically ordered Markov chains

Raúl Montes-de-Oca, Francisco Salem-Silva (2005)

Kybernetika

This paper deals with Markov decision processes (MDPs) with real state space for which its minimum is attained, and that are upper bounded by (uncontrolled) stochastically ordered (SO) Markov chains. We consider MDPs with (possibly) unbounded costs, and to evaluate the quality of each policy, we use the objective function known as the average cost. For this objective function we consider two Markov control models ℙ and ℙ 1 . ℙ and ℙ 1 have the same components except for the transition laws. The transition...

Estimation and control in finite Markov decision processes with the average reward criterion

Rolando Cavazos-Cadena, Raúl Montes-de-Oca (2004)

Applicationes Mathematicae

This work concerns Markov decision chains with finite state and action sets. The transition law satisfies the simultaneous Doeblin condition but is unknown to the controller, and the problem of determining an optimal adaptive policy with respect to the average reward criterion is addressed. A subset of policies is identified so that, when the system evolves under a policy in that class, the frequency estimators of the transition law are consistent on an essential set of admissible state-action pairs,...

Estimation of feedwater heater parameters based on a grey-box approach

Tomasz Barszcz, Piotr Czop (2011)

International Journal of Applied Mathematics and Computer Science

The first-principle modeling of a feedwater heater operating in a coal-fired power unit is presented, along with a theoretical discussion concerning its structural simplifications, parameter estimation, and dynamical validation. The model is a part of the component library of modeling environments, called the Virtual Power Plant (VPP). The main purpose of the VPP is simulation of power generation installations intended for early warning diagnostic applications. The model was developed in the Matlab/Simulink...

Estimation of hidden Markov models for a partially observed risk sensitive control problem

Bernard Frankpitt, John S. Baras (1998)

Kybernetika

This paper provides a summary of our recent work on the problem of combined estimation and control of systems described by finite state, hidden Markov models. We establish the stochastic framework for the problem, formulate a separated control policy with risk-sensitive cost functional, describe an estimation scheme for the parameters of the hidden Markov model that describes the plant, and finally indicate how the combined estimation and control problem can be re-formulated in a framework that...

Existence and uniqueness to the Cauchy problem for linear and semilinear parabolic equations with local conditions⋆

Gerardo Rubio (2011)

ESAIM: Proceedings

We consider the Cauchy problem in ℝd for a class of semilinear parabolic partial differential equations that arises in some stochastic control problems. We assume that the coefficients are unbounded and locally Lipschitz, not necessarily differentiable, with continuous data and local uniform ellipticity. We construct a classical solution by approximation with linear parabolic equations. The linear equations involved can not be solved with the traditional...

Existence of optimal nonanticipating controls in piecewise deterministic control problems

Atle Seierstad (2013)

ESAIM: Control, Optimisation and Calculus of Variations

Optimal nonanticipating controls are shown to exist in nonautonomous piecewise deterministic control problems with hard terminal restrictions. The assumptions needed are completely analogous to those needed to obtain optimal controls in deterministic control problems. The proof is based on well-known results on existence of deterministic optimal controls.

Existence of solutions and approximate controllability of impulsive fractional stochastic differential systems with infinite delay and Poisson jumps

Chinnathambi Rajivganthi, Krishnan Thiagu, Palanisamy Muthukumar, Pagavathigounder Balasubramaniam (2015)

Applications of Mathematics

The paper is motivated by the study of interesting models from economics and the natural sciences where the underlying randomness contains jumps. Stochastic differential equations with Poisson jumps have become very popular in modeling the phenomena arising in the field of financial mathematics, where the jump processes are widely used to describe the asset and commodity price dynamics. This paper addresses the issue of approximate controllability of impulsive fractional stochastic differential...

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