Adaptive control of discrete time Markov processes by the large deviations method

DOI10.4064/AM-27-3-265-285MaRDI QIDQ4523006zbMATH OpenOpenAlexFDO

Authors T. E. Duncan, B. Pasik-Duncan, Łukasz Stettner

Publication date 7 January 2001

Published in Applicationes Mathematicae (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/219273

Mathematics Subject Classification ID

Adaptive control/observation systems (93C40) Estimation and detection in stochastic control theory (93E10) Optimal stochastic control (93E20)

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• Bayesian adaptive control of discrete-time Markov processes with long-run average cost
• Adaptive decision making for stochastic processes
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• Certainty equivalent control of discrete time Markov processes with the average reward functional
• Existence of bounded solutions to multiplicative Poisson equations under mixing property
• Risk sensitive control and large deviations for denumerable Markov decision processes
• Large deviations and optimal control for Markov decision processes
• Infinite horizon stopping problems with (nearly) total reward criteria

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