Self-tuning control of diffusions without the identifiability condition
type: Item
instance of: scholarly article
title: Self-tuning control of diffusions without the identifiability condition
zbMATH Open document ID: 0697.93036
DOI: 10.1007/BF00939938
author: Vivek Borkar
published in: Journal of Optimization Theory and Applications
publication date: 1991-01-01T00:00:00Z
review text: The self-tuning method of adaptive control for diffusions consists of estimating the unknown parameter on line and using its current estimate as the true parameter for selection of the control at each time. The a.s. optimality of this scheme for the ergodic or long-run average criterion can be established under an identifiability condition on the system, but may fail otherwise. We present a modified self-tuning scheme along the lines of the Kumar- Becker-Lin scheme for Markov chains [see \textit{P. R. Kumar} and \textit{A. Becker}, IEEE Trans. Autom. Control AC-27, 137-146 (1982; Zbl 0471.93069); \textit{P. R. Kumar} and \textit{W. Lin}, ibid., 765-774 (1982; Zbl 0488.93036)] and prove its a.s. optimality. Several heuristic issues related to this scheme are also discussed.
Mathematics Subject Classification ID: 93C40
Mathematics Subject Classification ID: 93C20
Mathematics Subject Classification ID: 93E10
zbMATH DE Number: 4143873
zbMATH Keywords: identifiability condition
zbMATH Keywords: self-tuning scheme
zbMATH Keywords: Kumar-Becker-Lin scheme
MaRDI profile type: Publication
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full work available at URL: https://doi.org/10.1007/bf00939938
OpenAlex ID: W2055441457
description: scientific article; zbMATH DE number 4143873