Stochastic Control over Discrete Time

2008 ◽  
pp. 1-82
Author(s):  
Atle Seierstad
Keyword(s):  
Stochastic Control ◽  
Discrete Time

On equivalence notions for discrete-time stochastic control systems

2015 ◽  
Author(s):  
Giordano Pola ◽  
Costanzo Manes ◽  
Arjan J. van der Schaft ◽  
Maria Domenica Di Benedetto
Keyword(s):  
Control Systems ◽  
Stochastic Control ◽  
Discrete Time

First Passage Problems for Nonstationary Discrete-Time Stochastic Control Systems

2012 ◽  
Vol 18 (6) ◽  
pp. 528-538 ◽  
Author(s):  
Xianping Guo ◽  
Adrián Hernández-del-Valle ◽  
Onésimo Hernández-Lerma
Keyword(s):  
Control Systems ◽  
Stochastic Control ◽  
Discrete Time ◽  
First Passage

A LEARNING ALGORITHM FOR DISCRETE-TIME STOCHASTIC CONTROL

2000 ◽  
Vol 14 (2) ◽  
pp. 243-258 ◽  
Author(s):  
V. S. Borkar
Keyword(s):  
Stochastic Control ◽  
Discrete Time ◽  
Learning Algorithm ◽  
Control Process ◽  
Almost Sure Convergence ◽  
Discrete State ◽  
Q Learning ◽  
State Action ◽  
Simulation Based ◽  
Action Spaces

A simulation-based algorithm for learning good policies for a discrete-time stochastic control process with unknown transition law is analyzed when the state and action spaces are compact subsets of Euclidean spaces. This extends the Q-learning scheme of discrete state/action problems along the lines of Baker [4]. Almost sure convergence is proved under suitable conditions.

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