Almost self-optimizing strategies for the adaptive control of diffusion processes |
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| Authors: | T. E. Duncan B. Pasik-Duncan L. Stettner |
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| Affiliation: | (1) Department of Mathematics, University of Kansas, Lawrence, Kansas;(2) Institute of Mathematics, Polish Academy of Sciences, Warsaw, Poland |
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| Abstract: | ![]()
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.This research was partially supported by NSF Grants ECS-87-18026, ECS-91-02714, and ECS-91-13029. |
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| Keywords: | Stochastic adaptive control ergodic control nonlinear stochastic systems invariant measures diffusion processes |
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