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

controlled diffusionsergodic controlinvariant probability measuressingular perturbationstwo 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

(23)

• Singular ergodic control for multidimensional Gaussian 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
• A note on asymptotics between singular and constrained control problems of one-dimensional diffusions
• Singular control of SPDEs with space-mean dynamics
• Averaging and linear programming in some singularly perturbed problems of optimal control
• Linear programming formulation of long-run average optimal control problem
• Singular perturbations in risk-sensitive stochastic control
• Limits of Singularly Perturbed Control Problems with Statistical Dynamics of Fast Motions
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• Optimal control with random parameters: a multiscale approach
• Viscosity methods for large deviations estimates of multiscale stochastic processes
• An ergodic Stackelberg team problem for controlled diffusions
• Singular Perturbations in Stochastic Ergodic Control Problems
• Ergodic control of diffusions with random intervention times
• Singular perturbations and optimal control of stochastic systems in infinite dimension: HJB equations and viscosity solutions
• Singular ergodic control for multidimensional Gaussian–Poisson processes
• Singular perturbations in stochastic optimal control with unbounded data
• Deep relaxation of controlled stochastic gradient descent via singular perturbations
• On convergence of occupational measures sets of a discrete-time stochastic control system, with applications to averaging of hybrid systems
• Strong and weak quantitative estimates in slow-fast diffusions using filtering techniques

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