Geodesic
Bayesian parameter estimation and adaptive control of Markov processes with time-averaged cost
Applicationes Mathematicae, Tome 25 (1999) no. 3, pp. 339-358.

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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.
DOI : 10.4064/am-25-3-339-358
Keywords: time-averaged cost, adaptive control, asymptotic optimality, cost-biased estimate, Bayesian estimation

V. Borkar 1 ; S. Associate 1

1 
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V. Borkar; S. Associate. Bayesian parameter estimation and adaptive control of Markov processes with time-averaged cost. Applicationes Mathematicae, Tome 25 (1999) no. 3, pp. 339-358. doi : 10.4064/am-25-3-339-358. http://geodesic.mathdoc.fr/articles/10.4064/am-25-3-339-358/

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