A Relative Value Iteration Algorithm for Nondegenerate Controlled Diffusions
نویسندگان
چکیده
منابع مشابه
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’ ...
متن کاملA Correction to "A Relative Value Iteration Algorithm for Nondegenerate Controlled Diffusions"
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...
متن کاملConvergence of the Relative Value Iteration for the Ergodic Control Problem of Nondegenerate Diffusions
We study the relative value iteration for the ergodic control problem under a nearmonotone running cost structure for a nondegenerate diffusion controlled through its drift. This algorithm takes the form of a quasi-linear parabolic Cauchy initial value problem in Rd. We show that this Cauchy problem stabilizes or, in other words, that the solution of the quasi-linear parabolic equation converge...
متن کاملA Correction to “A Relative Value Iteration Algorithm for Nondegenerate Controlled Diffusions'' | SIAM Journal on Control and Optimization | Vol. 55, No. 3 | Society for Industrial and Applied Mathematics
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...
متن کاملConvergence of The Relative Value Iteration for the Ergodic Control Problem of Nondegenerate Diffusions under Near-Monotone Costs
We study the relative value iteration for the ergodic control problem under a nearmonotone running cost structure for a nondegenerate diffusion controlled through its drift. This algorithm takes the form of a quasilinear parabolic Cauchy initial value problem in R. We show that this Cauchy problem stabilizes, or in other words, that the solution of the quasilinear parabolic equation converges f...
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ژورنال
عنوان ژورنال: SIAM Journal on Control and Optimization
سال: 2012
ISSN: 0363-0129,1095-7138
DOI: 10.1137/110850529