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Bayesian parameter estimation and adaptive control of Markov processes with time-averaged cost

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Borkar V. S., Mundra Associate S. M.

Applicationes Mathematicae

1998-1999

tom 25

nr 3

339-358

This paper considers Bayesian parameter estimation and an associated adaptive control scheme for controlled Markov chains and diffusions with time-averaged cost. Asymptotic behaviour of the posterior law of the parameter given the observed trajectory is analyzed. This analysis suggests a "cost-biased" estimation scheme and associated self-tuning adaptive control. This is shown to be asymptotically optimal in the almost sure sense.

Ograniczanie wyników

1 Applicationes Mathematicae

1 Borkar V. S.

1 Mundra Associate S. M.

1 1998

Wyniki wyszukiwania

Bayesian parameter estimation and adaptive control of Markov processes with time-averaged cost