Adaptive policies for time-varying stochastic systems under discounted criterion |
| |
Authors: | Nadine Hilgert J Adolfo Minjárez-Sosa |
| |
Institution: | (1) Laboratoire de Biométrie, INRA-ENSA.M, 2 place Viala, 34060 Montpellier CEDEX 1, France. (hilgert@ensam.inra.fr). The research of this author was performed while she was visiting the Departamento de Matemáticas, CINVESTAV-IPN, México, DF., MX;(2) Departamento de Matemáticas, Universidad de Sonora, Rosales s/n, Col. Centro, 83000, Hermosillo, Sonora, México. (aminjare@gauss.mat.uson.mx), MX |
| |
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). |
| |
Keywords: | AMS 1991 subject classifications: 93E20 90C40 |
本文献已被 SpringerLink 等数据库收录! |
|