论文信息 - Almost self-optimizing strategies for the adaptive control of diffusion processes

Almost self-optimizing strategies for the adaptive control of diffusion processes

The ergodic control of a multidimensional diffusion process described by a stochastic differential equation that has some unknown parameters appearing in the drift is investigated. The invariant measure of the diffusion process is shown to be a continuous function of the unknown parameters. For the optimal ergodic cost for the known system, an almost optimal adaptive control is constructed for the unknown system.

[1] V. Borkar,et al. Parameter estimation in continuous-time stochastic processes , 1982 .

[2] D. W. Stroock,et al. Multidimensional Diffusion Processes , 1979 .

[3] M. K. Ghosh,et al. Ergodic control of multidimensional diffusions 1: the existence results , 1988 .

[4] Łukasz Stettner,et al. On nearly self-optimizing strategies for a discrete-time uniformly ergodic adaptive model , 1993 .

[5] R. Khasminskii. Stochastic Stability of Differential Equations , 1980 .

[6] A. Bensoussan. Perturbation Methods in Optimal Control , 1988 .

[7] Vivek S. Borkar,et al. Self-tuning control of diffusions without the identifiability condition , 1991 .

[8] P. Kumar,et al. A new family of optimal adaptive controllers for Markov chains , 1982 .

[9] N. Krylov. An Approach to Controlled Diffusion Processes , 1987 .