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Controlled Diffusion Processes
- Publisher
- Springer Journals
- Copyright
- Copyright © 1990 by Springer-Verlag New York Inc.
- Subject
- Mathematics; Calculus of Variations and Optimal Control; Optimization; Systems Theory, Control; Theoretical, Mathematical and Computational Physics; Mathematical Methods in Physics; Numerical and Computational Physics, Simulation
- ISSN
- 0095-4616
- eISSN
- 1432-0606
- DOI
- 10.1007/BF01445163
- Publisher site
- See Article on Publisher Site
Abstract
The self-tuning scheme for the adaptive control of a diffusion process is studied with long-run average cost criterion and maximum likelihood estimation of parameters. Asymptotic optimality under a suitable identifiability condition is established under two alternative sets of hypotheses—a Lyapunov-type stability criterion and a condition on cost which penalizes instability.
Journal
Applied Mathematics and Optimization – Springer Journals
Published: Mar 23, 2005