Search

This paper analyzes a connection between risk-sensitive and minimaxcriteria for discrete-time, finite-states Markov Decision Processes(MDPs). We synthesize optimal policies with respect to both criteria,both for finite ...

In this paper we are concerned with the existence of optimal stationary policies for infinite horizon risk sensitive Markov control processes with denumerable state space, unbounded cost function, and long run average cost. ...

We proposetwo finite difference two-timescale simultaneous perturbationstochastic approximation (SPSA)algorithmsfor simulation optimization ofhidden Markov models. Stability and convergence of both thealgorithms is ...

This work is a survey of the average cost control problem for discrete-time Markov processes. We have attempted to put together a comprehensive account of the considerable research on this problem over the past three ...

Optimal multilevel control policies for rate based flow control in available bit rate (ABR) service in asynchronous transfer mode (ATM) networks are obtained in the presence of information and propagation delays, using a ...

A Controlled switching diffusion model is developed to study the hierarchical control of flexible manufacturing systems. The existence of a homogeneous Markov nonrandomized optimal policy is established by a convex analytic ...

We study the ergodic control problem of switching diffusions representing a typical hybrid system that arises in numerous applications such as fault tolerant control systems, flexible manufacturing systems, etc. Under ...

We consider a risk-sensitive optimal control problem for hidden Markov models (HMM), i.e. controlled Markov chains where state information is only available to the controller via an output (message) process. Building upon ...

We study a linear system with a Markovian switching parameter perturbed by white noise. The cost function is quadratic. Under certain conditions, we find a linear feedback control which is almost surely optimal for the ...