Asymptotically Efficient Adaptive Choice of Control Laws inControlled Markov Chains

DOI10.1137/S0363012994275440zbMath0876.93053OpenAlexW2129036575MaRDI QIDQ4337732

Tze Leung Lai, Todd L. Graves

Publication date: 26 May 1997

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

Full work available at URL: https://doi.org/10.1137/s0363012994275440

zbMATH Keywords

certainty equivalencesequential testingadaptive control of Markov chainsmultiarmed bandit problemuncertainty adjustments

Mathematics Subject Classification ID

Adaptive control/observation systems (93C40) Optimal stochastic control (93E20) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Stochastic learning and adaptive control (93E35) Sequential statistical analysis (62L10)

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The multi-armed bandit problem: an efficient nonparametric solution ⋮ Learning the distribution with largest mean: two bandit frameworks ⋮ Optimal strategies for a class of sequential control problems with precedence relations ⋮ Adaptive control design under structured model information limitation: a cost-biased maximum-likelihood approach ⋮ Adaptive policies for perimeter surveillance problems ⋮ Learning to Optimize via Information-Directed Sampling ⋮ Sequential Generalized Likelihood Ratios and Adaptive Treatment Allocation for Optimal Sequential Selection

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