The Kumar-Becker-Lin scheme revisited |
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| Authors: | V S Borkar |
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| Institution: | (1) Tata Institute of Fundamental Research, Bangalore, India;(2) Present address: Department of Electrical Engineering, Indian Institute of Science, Bangalore, India |
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| Abstract: | The Kumar-Becker-Lin scheme introduces a slowly vanishing cost bias in the parameter estimation part of self-tuning control in order to improve its performance. This paper establishes the a.s. optimality of a variant of this scheme for Markov chains on a countable state space when the action space is compact metric and the parameter space is a compact subset ofR
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| Keywords: | Optimal stochastic control adaptive control ergodic control Kumar-Becker-Lin scheme self-tuning control |
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