Estimation and control in discounted stochastic dynamic programming

DOI10.1080/17442508708833435zbMath0621.90092OpenAlexW2081947709MaRDI QIDQ3758580

Manfred Schäl

Publication date: 1987

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508708833435

zbMATH Keywords

semi-Markov decision modelestimation and controldenumerable state spaceunbounded rewardsdiscounted return criterion

Mathematics Subject Classification ID

Queueing theory (aspects of probability theory) (60K25) Queues and service in operations research (90B22) Dynamic programming (90C39) Markov and semi-Markov decision processes (90C40)

Related Items (29)

Finite-state approximations for denumerable multidimensional state discounted Markov decision processes ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Adaptive policy-iteration and policy-value-iteration for discounted Markov decision processes ⋮ Adaptive policies for discrete-time stochastic control systems with unknown disturbance distribution ⋮ Density estimation and adaptive control of Markov processes: Average and discounted criteria ⋮ Nonparametric adaptive control of discrete-time partially observable stochastic systems ⋮ Discretization procedures for adaptive Markov control processes ⋮ Markov control models with unknown random state-action-dependent discount factors ⋮ Adaptive discounted control for piecewise deterministic Markov processes ⋮ Adaptive control of continuous-time linear stochastic systems with discounted cost criterion ⋮ Nonparametric adaptive control of discounted stochastic systems with compact state space ⋮ Adaptive control of constrained Markov chains: Criteria and policies ⋮ Nonparametric estimation and adaptive control in a class of finite Markov decision chains ⋮ Sensitivity of constrained Markov decision processes ⋮ Q-learning for Markov decision processes with a satisfiability criterion ⋮ Adaptive control of stochastic systems with unknown disturbance distribution: discounted criteria ⋮ Recursive adaptive control of Markov decision processes with the average reward criterion ⋮ Ergodic control of multidimensional diffusions. II: Adaptive control ⋮ The actor-critic algorithm as multi-time-scale stochastic approximation. ⋮ Analysis of an identification algorithm arising in the adaptive estimation of Markov chains ⋮ Adaptive control of diffusion processes with a discounted reward criterion ⋮ Two person zero-sum semi-Markov games with unknown holding times distribution on one side: A discounted payoff criterion ⋮ The Kumar-Becker-Lin scheme revisited ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Nonstationary value-iteration and adaptive control of discounted semi- Markov processes ⋮ Stability estimation of some Markov controlled processes ⋮ Identification and control in the partially known Merton portfolio selection model

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Denumerable state semi-Markov decision processes with unbounded costs, average cost criterion
• Markov decision processes and strongly excessive functions
• Adaptive control of Markov chains, I: Finite parameter set
• Strongly consistent estimation in a controlled Markov renewal model
• Bounds for the regret loss in dynamic programming under adaptive control
• On Dynamic Programming with Unbounded Rewards
• Conditions for optimality in dynamic programming and for the limit of n-stage optimal policies to be optimal
• A characterization of geometric ergodicity
• Estimation and control in Markov chains

This page was built for publication: Estimation and control in discounted stochastic dynamic programming