ALMOST SELF-OPTIMIZING STRATEGIES FOR THE ADAPTIVE-CONTROL OF DIFFUSION-PROCESSES

Authors
DUNCAN TE PASIKDUNCAN B STETTNER L
Citation
Te. Duncan et al., ALMOST SELF-OPTIMIZING STRATEGIES FOR THE ADAPTIVE-CONTROL OF DIFFUSION-PROCESSES, Journal of optimization theory and applications, 81(3), 1994, pp. 479-507
Citations number
9
Categorie Soggetti
Operatione Research & Management Science",Mathematics,"Operatione Research & Management Science
Journal title
Journal of optimization theory and applications → ACNP
ISSN journal
00223239
Volume
81
Issue
3
Year of publication
1994
Pages
479 - 507
Database
ISI
SICI code
0022-3239(1994)81:3<479:ASSFTA>2.0.ZU;2-O
Abstract
The ergodic control of a multidimensional diffusion process described by a stochastic differential equation that has some unknown parameters appearing in the drift is investigated. The invariant measure of the diffusion process is shown to be a continuous function of the unknown parameters. For the optimal ergodic cost for the known system, an almo st optimal adaptive control is constructed for the unknown system.