Estimation and control in discounted stochastic dynamic programming

Queues and service in operations research (90B22) Dynamic programming (90C39) Queueing theory (aspects of probability theory) (60K25) Markov and semi-Markov decision processes (90C40)

Cites Work

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Conditions for optimality in dynamic programming and for the limit of n-stage optimal policies to be optimal
Denumerable state semi-Markov decision processes with unbounded costs, average cost criterion
Estimation and control in Markov chains
On Dynamic Programming with Unbounded Rewards
Strongly consistent estimation in a controlled Markov renewal model
Adaptive control of Markov chains, I: Finite parameter set
Bounds for the regret loss in dynamic programming under adaptive control
A characterization of geometric ergodicity
Markov decision processes and strongly excessive functions

Cited In (36)

Stability estimation of some Markov controlled processes
Discretization procedures for adaptive Markov control processes
Analysis of an identification algorithm arising in the adaptive estimation of Markov chains
Ergodic control of multidimensional diffusions. II: Adaptive control
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Adaptive control of constrained Markov chains: Criteria and policies
Markov control models with unknown random state-action-dependent discount factors
Identification and control in the partially known Merton portfolio selection model
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Recursive adaptive control of Markov decision processes with the average reward criterion
Adaptive discounted control for piecewise deterministic Markov processes
Adaptive average control for piecewise deterministic Markov processes
Nonparametric estimation and adaptive control in a class of finite Markov decision chains
Adaptive policy-iteration and policy-value-iteration for discounted Markov decision processes
Allocation of Control Points in Stochastic Dynamic-Programming Models
Adaptive control of continuous-time linear stochastic systems with discounted cost criterion
Nonparametric adaptive control of discounted stochastic systems with compact state space
Adaptive control of diffusion processes with a discounted reward criterion
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Adaptive policies for discrete-time stochastic control systems with unknown disturbance distribution
Finite-state approximations for denumerable multidimensional state discounted Markov decision processes
Nonstationary value-iteration and adaptive control of discounted semi- Markov processes
Estimating the value of a discounted reward process
Two person zero-sum semi-Markov games with unknown holding times distribution on one side: A discounted payoff criterion
Discounting long run average growth in stochastic dynamic programs
The Kumar-Becker-Lin scheme revisited
Q-learning for Markov decision processes with a satisfiability criterion
Controlled approximation of the value function in stochastic dynamic programming for multi-reservoir systems
Sensitivity of constrained Markov decision processes
Adaptive control of stochastic systems with unknown disturbance distribution: discounted criteria
Nonparametric adaptive control of discrete-time partially observable stochastic systems
Density estimation and adaptive control of Markov processes: Average and discounted criteria
The actor-critic algorithm as multi-time-scale stochastic approximation.

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