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The value function in ergodic control of diffusion processes with partial observations II

100%

Borkar V. S.

Applicationes Mathematicae

2000

tom 27

nr 4

455-464

The problem of minimizing the ergodic or time-averaged cost for a controlled diffusion with partial observations can be recast as an equivalent control problem for the associated nonlinear filter. In analogy with the completely observed case, one may seek the value function for this problem as the vanishing discount limit of value functions for the associated discounted cost problems. This passage is justified here for the scalar case under a stability hypothesis, leading in particular to a "martingale" formulation of the dynamic programming principle.

A method for constructing ε-value functions for the Bolza problem of optimal control

86%

Pustelnik J.

International Journal of Applied Mathematics and Computer Science

2005

tom 15

nr 2

177-186

The problem considered is that of approximate minimisation of the Bolza problem of optimal control. Starting from Bellman's method of dynamic programming, we define the ε-value function to be an approximation to the value function being a solution to the Hamilton-Jacobi equation. The paper shows an approach that can be used to construct an algorithm for calculating the values of an ε-value function at given points, thus approximating the respective values of the value function.

Ograniczanie wyników

1 Applicationes Mathematicae

1 International Journal of Applied Mathematics and Computer Science

1 Borkar V. S.

1 Pustelnik J.

1 2005

1 2000

Wyniki wyszukiwania

The value function in ergodic control of diffusion processes with partial observations II

A method for constructing ε-value functions for the Bolza problem of optimal control