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A RELATIVE VALUE ITERATION ALGORITHM FOR NONDEGENERATE CONTROLLED DIFFUSIONS

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Field Value
 
Title A RELATIVE VALUE ITERATION ALGORITHM FOR NONDEGENERATE CONTROLLED DIFFUSIONS
 
Creator ARAPOSTATHIS, A
BORKAR, VS
 
Subject controlled diffusions
ergodic control
Hamilton-Jacobi-Bellman equation
relative value iteration
monotone dynamical systems
reverse martingales
MARKOV DECISION-PROCESSES
AVERAGE COST
ERGODICITY
 
Description The ergodic control problem for a nondegenerate diffusion controlled through its drift is considered under a uniform stability condition that ensures the well-posedness of the associated Hamilton-Jacobi-Bellman (HJB) equation. A nonlinear parabolic evolution equation is then proposed as a continuous time, continuous state space analogue of White's relative value iteration algorithm for solving the ergodic dynamic programming equation for the finite state, finite action case. Its convergence to the solution of the HJB equation is established using the theory of monotone dynamical systems and also, alternatively, by using the theory of reverse martingales.
 
Publisher SIAM PUBLICATIONS
 
Date 2014-10-17T05:37:26Z
2014-10-17T05:37:26Z
2012
 
Type Article
 
Identifier SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 50(4)1886-1902
http://dx.doi.org/10.1137/110850529
http://dspace.library.iitb.ac.in/jspui/handle/100/16085
 
Language en