Name
Abstract | ||
|---|---|---|
. We consider a class of time-varying stochastic control systems, with Borel state and action spaces, and possibly unbounded
costs. The processes evolve according to a discrete-time equation x
n + 1=G
n (x
n , a
n , ξn), n=0, 1, … , where the ξn are i.i.d. ℜk-valued random vectors whose common density is unknown, and the G
n are given functions converging, in a restricted way, to some function G
∞ as n→∞. Assuming observability of ξn, we construct an adaptive policy which is asymptotically discounted cost optimal for the limiting control system
x
n+1=G
∞ (x
n , a
n , ξn). |
Year | DOI | Venue |
|---|---|---|
2001 | 10.1007/s001860100170 | Math. Meth. of OR |
Keywords | Field | DocType |
optimal adaptive policy,discrete-time sto- chastic systems,discounted cost criterion,non-homogeneous markov control processes,discrete time,stochastic control,control system | Discrete mathematics,Discounted cost,Mathematical optimization,Observability,Markov process,Optimal control,Discrete time and continuous time,State space,Mathematics,Limiting,Stochastic control | Journal |
Volume | Issue | ISSN |
54 | 3 | 1432-5217 |
Citations | PageRank | References |
3 | 0.69 | 3 |
Authors | ||
2 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Nadine Hilgert | 1 | 21 | 4.55 |
| J. Adolfo Minjárez-Sosa | 2 | 34 | 9.00 |