TY - JOUR

T1 - Adaptive policies for stochastic systems under a randomized discounted cost criterion

AU - González-Hernández, J.

AU - López-Martínez, R. R.

AU - Minjárez-Sosa, J. A.

PY - 2008/4/1

Y1 - 2008/4/1

N2 - The paper deals with a class of discrete-time stochastic control processes under a discounted optimality criterion with random discount rate, and possibly unbounded costs. The state process {x t} and the discount process {a t;} evolve according to the coupled difference equations x t/+i = F(x t,a tt,a tξ t), a t+1 = G(a t,n t) where the state and discount disturbance processes {ξ t} and {η t} are sequences of i.i.d. random variables with unknown distributions θξ and θ η" respectively. Assuming observability of the process {(St, ξ t)), we use the empirical estimator of its distribution to construct asymptotically discounted optimal policie.

AB - The paper deals with a class of discrete-time stochastic control processes under a discounted optimality criterion with random discount rate, and possibly unbounded costs. The state process {x t} and the discount process {a t;} evolve according to the coupled difference equations x t/+i = F(x t,a tt,a tξ t), a t+1 = G(a t,n t) where the state and discount disturbance processes {ξ t} and {η t} are sequences of i.i.d. random variables with unknown distributions θξ and θ η" respectively. Assuming observability of the process {(St, ξ t)), we use the empirical estimator of its distribution to construct asymptotically discounted optimal policie.

M3 - Article

SP - 149

EP - 163

JO - Boletin de la Sociedad Matematica Mexicana

JF - Boletin de la Sociedad Matematica Mexicana

SN - 0037-8615

ER -