Adaptive control for discrete-time Markov processes with unbounded costs: Average criterion

Evgueni I. Gordienko and J. Adolfo Minjárez-Sosa

Mathematical Methods of Operations Research, 1998, vol. 48, issue 1, 37-55

Abstract: The paper deals with a class of discrete-time Markov control processes with Borel state and action spaces, and possibly unbounded one-stage costs. The processes are given by recurrent equations x t +1 =F(x t ,a t ,ξ t ), t=1,2,… with i.i.d. ℜ k – valued random vectors ξ t whose density ρ is unknown. Assuming observability of ξ t , and taking advantage of the procedure of statistical estimation of ρ used in a previous work by authors, we construct an average cost optimal adaptive policy. Copyright Springer-Verlag Berlin Heidelberg 1998

Keywords: Key words: Markov control process; average cost criterion; adaptive policy; projection of estimator; rate of convergence. (search for similar items in EconPapers)
Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:spr:mathme:v:48:y:1998:i:1:p:37-55

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DOI: 10.1007/PL00003993

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