Singular Perturbations in Ergodic Control of Diffusions

DOI10.1137/060657327MaRDI QIDQ3525928zbMATH OpenOpenAlexFDO

Authors Vivek Borkar, V. Gaitsgory

Publication date 23 September 2008

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/e09a87da7aaa753e02f9b3623e8f02742afe6086

zbMATH Keywords

singular perturbationsergodic controlinvariant probability measurescontrolled diffusionstwo time-scales

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Time-scale analysis and singular perturbations in control/observation systems (93C70) Optimal stochastic control (93E20)

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Cited in

(21)

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• Optimal control with random parameters: a multiscale approach
• Singular Perturbations in Stochastic Ergodic Control Problems
• Averaging and linear programming in some singularly perturbed problems of optimal control
• Singular ergodic control for multidimensional Gaussian processes
• Deep relaxation of controlled stochastic gradient descent via singular perturbations
• Linear programming formulation of long-run average optimal control problem
• Ergodic control of diffusions with random intervention times
• Singular ergodic control for multidimensional Gaussian–Poisson processes
• Limit behavior of two-time-scale diffusions revisited
• On average control generating families for singularly perturbed optimal control problems with long run average optimality criteria
• Singular perturbations and optimal control of stochastic systems in infinite dimension: HJB equations and viscosity solutions
• Limits of Singularly Perturbed Control Problems with Statistical Dynamics of Fast Motions
• scientific article; zbMATH DE number 17491 (Why is no real title available?)
• An ergodic Stackelberg team problem for controlled diffusions
• Singular perturbations in stochastic optimal control with unbounded data
• Viscosity methods for large deviations estimates of multiscale stochastic processes
• scientific article; zbMATH DE number 440562 (Why is no real title available?)
• A note on asymptotics between singular and constrained control problems of one-dimensional diffusions
• Singular control of SPDEs with space-mean dynamics
• Singular perturbations in risk-sensitive stochastic control

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