Borkar, Vivek S. ; Ghosh, Mrinal K. (1990) Ergodic control of multidimensional diffusions, II: adaptive control Applied Mathematics and Optimization, 21 (1). pp. 191-220. ISSN 0095-4616
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Official URL: http://www.springerlink.com/content/r65k4u67r27678...
Related URL: http://dx.doi.org/10.1007/BF01445163
Abstract
The self-tuning scheme for the adaptive control of a diffusion process is studied with long-run average cost criterion and maximum likelihood estimation of parameters. Asymptotic optimality under a suitable identifiability condition is established under two alternative sets of hypotheses-a Lyapunov-type stability criterion and a condition on cost which penalizes instability.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Springer-Verlag. |
| ID Code: | 5382 |
| Deposited On: | 18 Oct 2010 09:09 |
| Last Modified: | 02 Jun 2011 08:28 |
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