A correction to ``A relative value iteration algorithm for nondegenerate controlled diffusions

DOI10.1137/16M110650XMaRDI QIDQ5266528zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Vivek Borkar, Ari Arapostathis

Publication date 7 June 2017

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

Full work available at URL https://doi.org/10.1137/16m110650x

zbMATH Keywords

Hamilton-Jacobi-Bellman equationergodic controlmonotone dynamical systemsrelative value iterationcontrolled diffusions

Mathematics Subject Classification ID

Diffusion processes (60J60) Continuous-time Markov processes on general state spaces (60J25) Markov and semi-Markov decision processes (90C40) Stochastic stability in control theory (93E15) Optimal stochastic control (93E20)

Recommendations

• A relative value iteration algorithm for nondegenerate controlled diffusions
• Convergence of the relative value iteration for the ergodic control problem of nondegenerate diffusions under near-monotone costs
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Cites work

• scientific article; zbMATH DE number 3383329 (Why is no real title available?)
• A relative value iteration algorithm for nondegenerate controlled diffusions
• Ergodic control of diffusion processes.
• Large time asymptotic problems for optimal stochastic control with superlinear cost
• Semidynamical systems in infinite dimensional spaces

Cited in

(5)

• A relative value iteration algorithm for nondegenerate controlled diffusions
• Corrections to ``Ergodic control problem for one-dimensional diffusions with near-monotone cost
• On the relative value iteration with a risk-sensitive criterion
• Convergence of the relative value iteration for the ergodic control problem of nondegenerate diffusions under near-monotone costs
• On the policy iteration algorithm for nondegenerate controlled diffusions under the ergodic criterion

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