On the policy iteration algorithm for non-degenerate controlled diffusions under the ergodic criterion
نویسنده
چکیده
The subject of this paper is the policy iteration algorithm for non-degenerate controlled diffusions. The results parallel the ones in Meyn [11] for discrete-time controlled Markov chains. The model in [11] uses normlike running costs, while we opt for the milder assumption of near-monotone costs. Also, instead of employing a blanket Lyapunov stability hypothesis, we provide a characterization of the region of attraction of the optimal control.
منابع مشابه
On the Non-Uniqueness of Solutions to the Average Cost HJB for Controlled Diffusions with Near-Monotone Costs
We present a theorem for verification of optimality of controlled diffusions under the average cost criterion with near-monotone running cost, without invoking any blanket stability assumptions. The implications of this result to the policy iteration algorithm are also discussed. Index Terms controlled diffusions, near-monotone costs, Hamilton–Jacobi–Bellman equation, policy iteration
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متن کاملConvergence of The Relative Value Iteration for the Ergodic Control Problem of Nondegenerate Diffusions under Near-Monotone Costs
We study the relative value iteration for the ergodic control problem under a nearmonotone running cost structure for a nondegenerate diffusion controlled through its drift. This algorithm takes the form of a quasilinear parabolic Cauchy initial value problem in R. We show that this Cauchy problem stabilizes, or in other words, that the solution of the quasilinear parabolic equation converges f...
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تاریخ انتشار 2013