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We have studied two-person stochastic differential games with multiple modes. For the zero-sum game we have established the existence of optimal strategies for both players. For the non- zero sum case we have proved the ...

We consider the problem of determining the optimal policy for staffing a queueing system over multiple periods, using a model that takes into account transient queueing effects. Formulating the problem in a dynamic programming ...

We consider a risk-sensitive optimal control problem for hidden Markov models (HMM). Building upon recent results by Baras, James and Elliott, we investigate the structure of risk-sensitive controllers for HMM, via an ...

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 ...

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 ...

In this paper, we survey several recent developments on non- standard optimality criteria for controlled Markov process models of stochastic control problems. Commonly, the criteria employed for optimal decision and control ...

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 introduce the notion of probabilistic languages to describe the qualitative behavior of stochastic discrete event systems. Regular language operators such as choice, concatenation, and Kleene-closure have been defined ...

Many discrete event systems (DESs) such as manufacturing systems, data base management systems, communication networks, traffic systems, etc., can be modeled as input-output discrete event systems (I/O DESs). In this paper ...