- Tytuł:
- Bayesian parameter estimation and adaptive control of Markov processes with time-averaged cost
- Autorzy:
-
Borkar, V.
Associate, S. - Powiązania:
- https://bibliotekanauki.pl/articles/1339007.pdf
- Data publikacji:
- 1998
- Wydawca:
- Polska Akademia Nauk. Instytut Matematyczny PAN
- Tematy:
-
time-averaged cost
adaptive control
asymptotic optimality
cost-biased estimate
Bayesian estimation - Opis:
- This paper considers Bayesian parameter estimation and an associated adaptive control scheme for controlled Markov chains and diffusions with time-averaged cost. Asymptotic behaviour of the posterior law of the parameter given the observed trajectory is analyzed. This analysis suggests a "cost-biased" estimation scheme and associated self-tuning adaptive control. This is shown to be asymptotically optimal in the almost sure sense.
- Źródło:
-
Applicationes Mathematicae; 1998-1999, 25, 3; 339-358
1233-7234 - Pojawia się w:
- Applicationes Mathematicae
- Dostawca treści:
- Biblioteka Nauki
Artykuł