Almost self-optimizing strategies for the adaptive control of diffusion processes

DOI10.1007/BF02193097zbMath0801.60047OpenAlexW2031660693MaRDI QIDQ1331121

Łukasz Stettner, Bozenna Pasik-Duncan, Tyrone E. Duncan

Publication date: 21 November 1994

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02193097

zbMATH Keywords

invariant measuresergodic controloptimal adaptive controlmultidimensional diffusion process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Related Items (3)

On the ergodic and the adaptive control of stochastic differential delay systems ⋮ Adaptive control of continuous time stochastic systems ⋮ Adaptive control of diffusion processes with a discounted reward criterion

Cites Work

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• Self-tuning control of diffusions without the identifiability condition
• On nearly self-optimizing strategies for a discrete-time uniformly ergodic adaptive model
• Ergodic Control of Multidimensional Diffusions I: The Existence Results
• A new family of optimal adaptive controllers for Markov chains
• Parameter estimation in continuous-time stochastic processes

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