Discrete time adaptive impulsive control theory
type: Item
instance of: scholarly article
title: Discrete time adaptive impulsive control theory
zbMATH Open document ID: 0615.93076
DOI: 10.1016/0304-4149(86)90035-9
published in: Stochastic Processes and their Applications
publication date: 1986-01-01T00:00:00Z
review text: This paper consists of two parts. The first part investigates discrete- time impulsive control with a long run average cost criterion. Under suitable assumptions, the author characterizes an \(\epsilon\)-optimal impulsive strategy and, in the case of a Feller process, an optimal strategy is given. In the second part adaptive impulse controls are considered. Using the modified maximum likelihood estimator he estimates the unknown parameter and, appealing to the results of the first part, an optimal control is constructed. Moreover, the relation between optimal controls with known true parameter and optimal adaptive controls is given.
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 93C40
Mathematics Subject Classification ID: 93C55
Mathematics Subject Classification ID: 60J05
Mathematics Subject Classification ID: 62A01
Mathematics Subject Classification ID: 62F35
Mathematics Subject Classification ID: 93E10
Mathematics Subject Classification ID: 93E12
Mathematics Subject Classification ID: 93E15
zbMATH DE Number: 3997687
zbMATH Keywords: Feller-Markov process
zbMATH Keywords: martingale stability
zbMATH Keywords: discrete-time impulsive control
zbMATH Keywords: long run average cost criterion
zbMATH Keywords: adaptive impulse controls
zbMATH Keywords: maximum likelihood estimator
author: Łukasz Stettner
reviewed by: Makiko Nisio
MaRDI profile type: Publication
full work available at URL: 0304-4149(86)90035-9
OpenAlex ID: W2055558619
cites work: Q5822308
cites work: Simultaneous identification and adaptive control of unknown systems over finite parameter sets
cites work: A Survey of Some Results in Stochastic Adaptive Control
cites work: Q4165953
cites work: On the poisson equation and optimal stopping of ergodic markov processes
cites work: On impulsive control with long run average cost criterion
description: scientific article; zbMATH DE number 3997687