Arapostathis, Ari ; Borkar, Vivek S. (2017) A Correction to “A Relative Value Iteration Algorithm for Nondegenerate Controlled Diffusions'' SIAM Journal on Control and Optimization, 55 (3). pp. 1711-1715. ISSN 0363-0129
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Official URL: http://doi.org/10.1137/16M110650X
Related URL: http://dx.doi.org/10.1137/16M110650X
Abstract
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 and (b) the theory of reverse martingales. However, in the proof using (a) it is wrongly claimed that the semiflow is strong order preserving. In this note, we provide a simple generic proof and also comment on how to relax the uniform geometric ergodicity hypothesis.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Society for Industrial & Applied Mathematics. |
| ID Code: | 135186 |
| Deposited On: | 20 Jan 2023 05:35 |
| Last Modified: | 20 Jan 2023 05:35 |
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