On Iteration Improvement for Averaged Expected Cost Control for One-Dimensional Ergodic Diffusions

DOI10.1137/19M1271944zbMath1452.93037arXiv1812.10665OpenAlexW2907777819WikidataQ114074246 ScholiaQ114074246MaRDI QIDQ5117358

Hilmar Mai, Alexander Yu. Veretennikov, Svetlana Anulova

Publication date: 21 August 2020

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1812.10665

zbMATH Keywords

Hamilton-Jacobi-Bellman equationexistence and uniquenesscontrolled diffusion processesaveraged expected controlreward improvement algorithm

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic systems in control theory (general) (93E03) Control/observation systems governed by ordinary differential equations (93C15)

Related Items (2)

On the policy improvement algorithm for ergodic risk-sensitive control ⋮ Optimizing Noisy Complex Systems Liable to Failure

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