Adaptive control of diffusion processes with a discounted reward criterion

Asymptotic Behavior of Multivariate Reward Processes with Nonlinear Reward Functions

COVARIANCE MATRIX OF MULTIVARIATE REWARD PROCESSES WITH NONLINEAR REWARD FUNCTIONS

Multivariate reward processes with reward functions of constant rates, defined on a semi-Markov process, first were studied by Masuda and Sumita, 1991. Reward processes with nonlinear reward functions were introduced in Soltani, 1996. In this work we study a multivariate process , , where are reward processes with nonlinear reward functions respectively. The Laplace transform of the covar...

Approximation and estimation in Markov control processes under a discounted criterion

We consider a class of discrete-time Markov control processes with Borel state and action spaces, and <−valued i.i.d. disturbances with unknown density ρ. Supposing possibly unbounded costs, and under standard continuity and compactness conditions, we combine suitable density estimation methods of ρ with approximation procedures of the optimal cost function, to construct asymptotically discount...

asymptotic behavior of multivariate reward processes with nonlinear reward functions

On exponentially discounted adaptive control

In many applications of adaptive control it may be clear if the unknown parameters are constants or are time varying functions. It may be especially difficult to determine if some of the parameters are constants or slowly varying functions of time. To determine parameter variations it is necessary to "forget" the past of the state. The approach of exponential discounting of past information has...