The average-optimal adaptive control of a Markov renewal model in presence of an unknown parameter
作者:
Michael Kolonko,
期刊:
Mathematische Operationsforschung und Statistik. Series Optimization
(Taylor Available online 1982)
卷期:
Volume 13,
issue 4
页码: 567-591
ISSN:0323-3898
年代: 1982
DOI:10.1080/02331938208842822
出版商: Akademic-Verlag
数据来源: Taylor
摘要:
We consider a Markov renewal decision model with countable state space and an unbounded reward function. The transition probability depends on an unknown parameter θ. We give weak bounding and recurrence conditions under which the adaptation of the control according to the outcome of an estimator for θ yields an optimal procedure uniformly in θ with respect to the expected average reward criterion
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