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Controlled Markov Processes on the Infinite Planning Horizon: Weighted and, Overtaking Cost Criteria
(1993)
Stochastic control problems for controlled Markov processes models with an infinite planning horizon are considered, under some non-standard cost criteria. The classical discounted and average cost criteria can be viewed ...
Risk-Sensitive, Minimax, and Mixed Risk-Neutral/Minimax Control of Markov Decision Processes
(1998)
This paper analyzes a connection between risk-sensitive and minimaxcriteria for discrete-time, finite-state Markov Decision Processes(MDPs). We synthesize optimal policies with respect to both criteria,both for finite ...
Existence of Risk Sensitive Optimal Stationary Policies for Controlled Markov Processes
(1997)
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. ...
Randomized Difference Two-Timescale Simultaneous Perturbation Stochastic Approximation Algorithms for Simulation Optimization of Hidden Markov Models
(2000)
We proposetwo finite difference two-timescale simultaneous perturbationstochastic approximation (SPSA)algorithmsfor simulation optimization ofhidden Markov models. Stability and convergence of both thealgorithms is ...
Discrete-Time Controlled Markov Processes with Average Cost Criterion: A Survey
(1991)
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 Feedback Policies for ABR Flow Control using Two Timescale SPSA
(1999)
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 ...
Optimal Control of Switching Diffusions with Application to Flexible Manufacturing Systems
(1991)
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 ...
Non-Standard Optimality Criteria for Stochastic Control Problems
(1995)
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 ...
Predicates and Predicate Transformers for Supervisory Control of Discrete Event Dynamical Systems
(1991)
Most discrete event system models are based on defining the alphabet set or the set of events as a fundamental concept. In this paper, we take an alternative view of treating the state space as the fundamental concept. We ...
Ergodic Control of Switching Diffusions
(1992)
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 ...