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
Y1 - 2008/4
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.
KW - Discounted cost criterion
KW - Discrete-time stochastic systems
KW - Empirical distribution
KW - Optimal adaptive policy
KW - Random rate
UR - http://www.scopus.com/inward/record.url?scp=84858402328&partnerID=8YFLogxK
M3 - Artículo
SN - 0037-8615
VL - 14
SP - 149
EP - 163
JO - Boletin de la Sociedad Matematica Mexicana
JF - Boletin de la Sociedad Matematica Mexicana
IS - 1
ER -