Convergence of the Relative Value Iteration for the Ergodic Control Problem of Nondegenerate Diffusions under Near-Monotone Costs

DOI10.1137/130912918zbMath1292.93138arXiv1303.0618OpenAlexW2060116429WikidataQ60167481 ScholiaQ60167481MaRDI QIDQ5494866

Vivek S. Borkar, K. Suresh Kumar, Aristotle Arapostathis

Publication date: 30 July 2014

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

Full work available at URL: https://arxiv.org/abs/1303.0618

zbMATH Keywords

Hamilton-Jacobi-Bellman equation ergodic control controlled diffusions relative value iteration parabolic Cauchy problem

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Optimal stochastic control (93E20) Stochastic stability in control theory (93E15) Diffusion processes (60J60) Markov and semi-Markov decision processes (90C40) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (6)

On the global convergence of relative value iteration for infinite-horizon risk-sensitive control of diffusions ⋮ Open Problem—Convergence and Asymptotic Optimality of the Relative Value Iteration in Ergodic Control ⋮ On solutions of mean field games with ergodic cost ⋮ Ergodic Problems for Viscous Hamilton--Jacobi Equations with Inward Drift ⋮ On the relative value iteration with a risk-sensitive criterion ⋮ On Uniform Exponential Ergodicity of Markovian Multiclass Many-Server Queues in the Halfin–Whitt Regime

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