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Approximation of Infinite Horizon Discounted Cost Markov Decision Processes

BOOK CHAPTER published 2012 in Optimization, Control, and Applications of Stochastic Systems

Authors: François Dufour | Tomás Prieto-Rumeau

Adaptive control of continuous-time linear stochastic systems with discounted cost criterion

JOURNAL ARTICLE published February 1991 in Journal of Optimization Theory and Applications

Authors: T. R. Bielecki

Limiting Discounted-Cost Control of Partially Observable Stochastic Systems

JOURNAL ARTICLE published January 2001 in SIAM Journal on Control and Optimization

Authors: Onésimo Hernández-Lerma | Rosario Romera

Backstepping Controller Design for Nonlinear Stochastic Systems Under a Risk-Sensitive Cost Criterion

JOURNAL ARTICLE published January 1999 in SIAM Journal on Control and Optimization

Authors: Zigang Pan | Tamer Basar

Semi-Markov Control Processes with Unknown Holding Times Distribution Under an Average Cost Criterion

JOURNAL ARTICLE published June 2010 in Applied Mathematics and Optimization

Authors: Fernando Luque-Vásquez | J. Adolfo Minjárez-Sosa | Luz del Carmen Rosas-Rosas

Continuous-Time Constrained Stochastic Games under the Discounted Cost Criteria

JOURNAL ARTICLE published April 2018 in Applied Mathematics & Optimization

Authors: Wenzhao Zhang

Stochastic Gradient Form of Stochastic Approximation

OTHER published 26 March 2003 in Introduction to Stochastic Search and Optimization

Impulse Control with Discontinuous Setup Costs: Discounted Cost Criterion

JOURNAL ARTICLE published January 2021 in SIAM Journal on Control and Optimization

Research funded by National Natural Science Foundation of China (11771432,11871461,11401566)

Authors: Fen Xu | Dacheng Yao | Hanqin Zhang

Simultaneous Perturbation Stochastic Approximation

OTHER published 26 March 2003 in Introduction to Stochastic Search and Optimization

Nonzero Sum Stochastic Differential Games with Discounted Payoff Criterion: An Approximating Markov Chain Approach

JOURNAL ARTICLE published January 2008 in SIAM Journal on Control and Optimization

Authors: K. Suresh Kumar

Stochastic Approximation for Nonlinear Root‐Finding

OTHER published 26 March 2003 in Introduction to Stochastic Search and Optimization

Asymptotically Optimal Strategies for Adaptive Zero-Sum Discounted Markov Games

JOURNAL ARTICLE published January 2009 in SIAM Journal on Control and Optimization

Authors: J. Adolfo Minjárez-Sosa | Oscar Vega-Amaya

Stochastic Approximation and the Finite‐Difference Method

OTHER published 26 March 2003 in Introduction to Stochastic Search and Optimization

A Measure Approach for Continuous Inventory Models: Discounted Cost Criterion

JOURNAL ARTICLE published January 2015 in SIAM Journal on Control and Optimization

Authors: K. L. Helmes | R. H. Stockbridge | C. Zhu

Estimation of the Optimality Deviation in Discounted Semi-Markov Control Models

BOOK CHAPTER published 2012 in Systems & Control: Foundations & Applications

Authors: Luz del Carmen Rosas-Rosas

Continuous-Time Markov Decision Processes Under the Risk-Sensitive First Passage Discounted Cost Criterion

JOURNAL ARTICLE published April 2023 in Journal of Optimization Theory and Applications

Research funded by National Natural Science Foundation of China (12171170) | Natural Science Foundation of Fujian Province (2021J01308,12271454)

Authors: Qingda Wei | Xian Chen

Model Simplification and Optimal Control of Stochastic Singularly Perturbed Systems under Exponentiated Quadratic Cost

JOURNAL ARTICLE published September 1996 in SIAM Journal on Control and Optimization

Authors: Zigang Pan | Tamer Başar

Regularized sample average approximation for high-dimensional stochastic optimization under low-rankness

JOURNAL ARTICLE published February 2023 in Journal of Global Optimization

Authors: Hung Yi Lee | Charles Hernandez | Hongcheng Liu

Optimal Control of a Stochastic Hybrid System with Discounted Cost

JOURNAL ARTICLE published June 1999 in Journal of Optimization Theory and Applications

Authors: V. S. Borkar | M. K. Ghosh | P. Sahay

Nonparametric adaptive control of discounted stochastic systems with compact state space

JOURNAL ARTICLE published May 1990 in Journal of Optimization Theory and Applications

Authors: R. Cavazos-Cadena