On the milito-cruz adaptive control scheme for Markov chains

Borkar, V. S. (1993) On the milito-cruz adaptive control scheme for Markov chains Journal of Optimization Theory and Applications, 77 (2). pp. 387-397. ISSN 0022-3239

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Official URL: http://www.springerlink.com/content/l43149v03138k6...

Related URL: http://dx.doi.org/10.1007/BF00940719


Milito and Cruz have introduced a novel adaptive control scheme for finite Markov chains when a finite parametrized family of possible transition matrices is available. The scheme involves the minimization of a composite functional of the observed history of the process incorporating both control and estimation aspects. We prove the a.s. optimality of a similar scheme when the state space is countable and the parameter space a compact subset of Rd.

Item Type:Article
Source:Copyright of this article belongs to Springer.
Keywords:Controlled Markov Chains; Adaptive Control; Cost-Biased Estimation; Asymptotic Optimality; Ergodic Control
ID Code:81428
Deposited On:06 Feb 2012 04:37
Last Modified:06 Feb 2012 04:37

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