On Iteration Improvement for Averaged Expected Cost Control for One-Dimensional Ergodic Diffusions

Autor:	Svetlana Anulova, Hilmar Mai, Alexander Yur'evich Veretennikov
Rok vydání:	2020
Předmět:	Mathematics::Dynamical Systems Control and Optimization Expected cost Computer Science::Systems and Control Applied Mathematics Mathematics::Optimization and Control Hamilton–Jacobi–Bellman equation Applied mathematics Ergodic theory Diffusion (business) Mathematics Variable (mathematics)
Zdroj:	SIAM Journal on Control and Optimization. 58:2312-2331
ISSN:	1095-7138 0363-0129
DOI:	10.1137/19m1271944
Popis:	An ergodic Bellman's (Hamilton--Jacobi--Bellman) equation is proved for a uniformly ergodic one-dimensional controlled diffusion with variable diffusion and drift coefficients both depending on control; convergence of the values provided by Howard's reward improvement algorithm to the value which is a component of the unique solution of Bellman's equation is established.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::62ca4e580c1cbca0a20ca5cffbac38de https://doi.org/10.1137/19m1271944 Zobrazit plný text záznamu