On the policy iteration algorithm for nondegenerate controlled diffusions under the ergodic criterion

DOI10.1007/978-0-8176-8337-5_1MaRDI QIDQ4593597zbMATH OpenOpenAlexWikidataFDO

Authors Ari Arapostathis

Publication date 22 November 2017

Published in Systems & Control: Foundations & Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-0-8176-8337-5_1

Mathematics Subject Classification ID

Diffusion processes (60J60) Markov and semi-Markov decision processes (90C40) Optimal stochastic control (93E20)

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(6)

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• On averaged control and iteration improvement for a class of multidimensional ergodic diffusions
• A relative value iteration algorithm for nondegenerate controlled diffusions
• A correction to ``A relative value iteration algorithm for nondegenerate controlled diffusions
• On Iteration Improvement for Averaged Expected Cost Control for One-Dimensional Ergodic Diffusions
• Policy iteration algorithm for singular controlled diffusion processes

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