Arapostathis, Ari ; Borkar, Vivek S. ; Kumar, K. Suresh
(2014)
*Convergence of the Relative Value Iteration for the Ergodic Control Problem of Nondegenerate Diffusions under Near-Monotone Costs*
SIAM Journal on Control and Optimization, 52
(1).
pp. 1-31.
ISSN 0363-0129

Full text not available from this repository.

Official URL: http://doi.org/10.1137/130912918

Related URL: http://dx.doi.org/10.1137/130912918

## Abstract

We study the relative value iteration for the ergodic control problem under a near-monotone 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 converges for every bounded initial condition in C2(Rd) to the solution of the Hamilton--Jacobi--Bellman equation associated with the ergodic control problem.

Item Type: | Article |
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Source: | Copyright of this article belongs to Society for Industrial & Applied Mathematics. |

Keywords: | controlled diffusions; ergodic control; Hamilton--Jacobi--Bellman equation; relative value iteration; parabolic Cauchy problem |

ID Code: | 135206 |

Deposited On: | 20 Jan 2023 06:08 |

Last Modified: | 20 Jan 2023 06:08 |

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