Adaptive policies for time-varying stochastic systems under discounted criterion

Nadine Hilgert and J. Adolfo Minjárez-Sosa

Mathematical Methods of Operations Research, 2001, vol. 54, issue 3, 505 pages

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 , ξ n ), n=0, 1, … , where the ξ n are i.i.d. ℜ k -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 ξ n , we construct an adaptive policy which is asymptotically discounted cost optimal for the limiting control system x n+1 =G ∞ (x n , a n , ξ n ). Copyright Springer-Verlag Berlin Heidelberg 2001

Keywords: AMS 1991 subject classifications: 93E20, 90C40., Key words: Non-homogeneous Markov control processes; discrete-time stochastic systems; discounted cost criterion; optimal adaptive policy, (search for similar items in EconPapers)
Date: 2001
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DOI: 10.1007/s001860100170

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