Ergodic control of multidimensional diffusions,II: Adaptive control |
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| Authors: | Vivek S. Borkar Mrinal K. Ghosh |
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| Affiliation: | (1) Tata Institute of Fundamental Research, Bangalore Centre, I.I.Sc. Campus, P.O. Box 1234, 560012 Bangalore, India |
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| Abstract: | The self-tuning scheme for the adaptive control of a diffusion process is studied with long-run average cost criterion and maximum likelihood estimation of parameters. Asymptotic optimality under a suitable identifiability condition is established under two alternative sets of hypotheses—a Lyapunov-type stability criterion and a condition on cost which penalizes instability. |
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