Borkar, V. S. (1991) Self-tuning control of diffusions without the identifiability condition Journal of Optimization Theory and Applications, 68 (1). pp. 117-138. ISSN 0022-3239
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Official URL: http://www.springerlink.com/content/u88r456258026j...
Related URL: http://dx.doi.org/10.1007/BF00939938
Abstract
The self-tuning method of adaptive control for diffusions consists of estimating the unknown parameter on line and using its current estimate as the true parameter for the selection of the control at each time. The a.s. optimality of this scheme for the ergodic or long-run average criterion can be established under an identifiability condition on the system, but may fail otherwise. We present a modified self-tuning scheme along the lines of the Kumar-Becker-Lin scheme for Markov chains and prove its a.s. optimality. Several heuristic issues related to this scheme are also discussed.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Springer. |
| Keywords: | Adaptive Control; Self-Tuning Control; Controlled Diffusions; Kumar-Becker-Lin Scheme; Ergodic Control |
| ID Code: | 81426 |
| Deposited On: | 06 Feb 2012 04:36 |
| Last Modified: | 06 Feb 2012 04:36 |
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