Transient phenomena and self-optimizing control of Markov chains
In probability theory, Bayesian statistics, artificial intelligence and database theory the minimum cross-entropy principle is often used to estimate a distribution with a given set of marginal distributions under the proportionality assumption with respect to a given “prior” distribution . Such an estimation problem admits a solution if and only if there exists an extension of that is dominated by . In this paper we consider the case that is not given explicitly, but is specified as the...
A problem of control law design for large scale stochastic systems is discussed. Nonclassical information pattern is considered. A two-level hierarchical control structure with a coordinator on the upper level and local controllers on the lower level is proposed. A suboptimal algorithm with a partial decomposition of calculations and decentralized local control is obtained. A simple example is presented to illustrate the proposed approach.