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Recursive self-tuning control of finite Markov chains
Applicationes Mathematicae, Tome 24 (1997) no. 2, pp. 169-188 Cet article a éte moissonné depuis la source Institute of Mathematics Polish Academy of Sciences

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A recursive self-tuning control scheme for finite Markov chains is proposed wherein the unknown parameter is estimated by a stochastic approximation scheme for maximizing the log-likelihood function and the control is obtained via a relative value iteration algorithm. The analysis uses the asymptotic o.d.e.s associated with these.
DOI : 10.4064/am-24-2-169-188
Keywords: controlled Markov chains, stochastic approximation, relative value iteration, self-tuning control, adaptive control

Vivek Borkar 1

1 
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Vivek Borkar. Recursive self-tuning control of finite Markov chains. Applicationes Mathematicae, Tome 24 (1997) no. 2, pp. 169-188. doi: 10.4064/am-24-2-169-188

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