Bayesian ergodic adaptive control of diffusion processes

A Bayesian adaptive control problem for ergodic diffusions is considered. A nearly self-optimising strategy is constructed on the basis of discrete-time observations of the state process. In this derivation a key role is played by an embedded Markov chain with an associated Bellman-type equation whi...

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Bibliographic Details
Published inStochastics and stochastics reports Vol. 60; no. 3-4; pp. 155 - 183
Main Authors Di Masp, G. B., Stettner, Ł.
Format Journal Article
LanguageEnglish
Published Abingdon Gordon and Breach Science Publishers 01.04.1997
Taylor & Francis
Subjects
Bayesian adaptive control
Calculus of variations and optimal control
controlled diffusion processes
Exact sciences and technology
identifiability
Mathematical analysis
Mathematics
near self-optimality
Ordinary differential equations
Probability and statistics
Probability theory and stochastic processes
Sciences and techniques of general use
Stochastic analysis
Stochastic processes
Markov chain
Optimal strategy
Bellman equation
Discrete time observation
Differential equation
Diffusion process
Bayesian control
Adaptive control
Stochastic equation
Ergodic diffusion
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Summary:A Bayesian adaptive control problem for ergodic diffusions is considered. A nearly self-optimising strategy is constructed on the basis of discrete-time observations of the state process. In this derivation a key role is played by an embedded Markov chain with an associated Bellman-type equation which appears to be of independent interest
ISSN:1045-1129
1029-0346
DOI:10.1080/17442509708834104