A Relative Value Iteration Algorithm for Nondegenerate Controlled Diffusions

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A Relative Value Iteration Algorithm for Nondegenerate Controlled Diffusions

Abstract. The ergodic control problem for a non-degenerate controlled diffusion controlled through its drift is considered under a uniform stability condition that ensures the well-posedness of the associated Hamilton–Jacobi– Bellman (HJB) equation. A nonlinear parabolic evolution equation is then proposed as a continuous time continuous state space analog of White’s ‘relative value iteration’ ...

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In A Relative Value Iteration Algorithm for Nondegenerate Controlled Diffusions, [SIAM J. Control Optim., 50 (2012), pp. 1886–1902], convergence of the relative value iteration for the ergodic control problem for a nondegenerate diffusion controlled through its drift was established, under the assumption of geometric ergodicity, using two methods: (a) the theory of monotone dynamical systems an...

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In A Relative Value Iteration Algorithm for Nondegenerate Controlled Diffusions, [SIAM J. Control Optim., 50 (2012), pp. 1886–1902], convergence of the relative value iteration for the ergodic control problem for a nondegenerate diffusion controlled through its drift was established, under the assumption of geometric ergodicity, using two methods: (a) the theory of monotone dynamical systems an...

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ژورنال

عنوان ژورنال: SIAM Journal on Control and Optimization

سال: 2012

ISSN: 0363-0129,1095-7138

DOI: 10.1137/110850529