Discrete time adaptive impulsive control theory

DOI10.1016/0304-4149(86)90035-9MaRDI QIDQ1821082zbMATH OpenOpenAlexFDO

Authors Łukasz Stettner

Publication date 1986

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(86)90035-9

zbMATH Keywords

adaptive impulse controlsdiscrete-time impulsive controlFeller-Markov processlong run average cost criterionmartingale stabilitymaximum likelihood estimator

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Foundations and philosophical topics in statistics (62A01) Robustness and adaptive procedures (parametric inference) (62F35) Adaptive control/observation systems (93C40) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12) Stochastic stability in control theory (93E15) Optimal stochastic control (93E20)

Review text

This paper consists of two parts. The first part investigates discrete- time impulsive control with a long run average cost criterion. Under suitable assumptions, the author characterizes an \(\epsilon\)-optimal impulsive strategy and, in the case of a Feller process, an optimal strategy is given. In the second part adaptive impulse controls are considered. Using the modified maximum likelihood estimator he estimates the unknown parameter and, appealing to the results of the first part, an optimal control is constructed. Moreover, the relation between optimal controls with known true parameter and optimal adaptive controls is given.

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Cites work

• A Survey of Some Results in Stochastic Adaptive Control
• scientific article; zbMATH DE number 3599198 (Why is no real title available?)
• scientific article; zbMATH DE number 3085434 (Why is no real title available?)
• On impulsive control with long run average cost criterion
• On the poisson equation and optimal stopping of ergodic markov processes
• Simultaneous identification and adaptive control of unknown systems over finite parameter sets

Cited in

(7)

• Discrete-time hybrid control in Borel spaces: average cost optimality criterion
• Discrete-time hybrid control in Borel spaces
• Analysis and computation of an optimality equation arising in an impulse control problem with discrete and costly observations
• On nearly self-optimizing strategies for a discrete-time uniformly ergodic adaptive model
• On some ergodic impulse control problems with constraint
• Ergodic impulse control with constraint: locally compact case
• Impulsive control theory

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