The following information was submitted:
Transactions: WSEAS TRANSACTIONS ON MATHEMATICS
Transactions ID Number: 89-281
Full Name: Hugo Cruz
Position: Professor
Age: ON
Sex: Male
Address: Av. San Claudio y 18 Sur, Colonia San Manuel, Puebla,Pue., Méixoc
Country: MEXICO
Tel: (01222) 2295500
Tel prefix: 7550
Fax:
E-mail address: hcs@fcfm.buap.mx
Other E-mails: hadan4@yahoo.com
Title of the Paper: Stochastic Optimal Control for Small Noise Intensities: The Discrete-Time Case
Authors as they appear in the Paper: Hugo Cruz-Suárez, Rocio Ilhuicatzi-Roldan
Email addresses of all the authors: hcs@fcfm.buap.mx, rroldan@alumnos.fcfm.buap.mx
Number of paper pages: 10
Abstract: This paper deals with Markov Decision Processes (MDPs) on Borel spaces with an infinite horizon and a discounted total cost. It will be considered a stochastic optimal control problem which arises by perturbing the transition law of a deterministic control problem, through an additive random noise term with coefficient epsilon. In the paper, we will analyze the behavior of the optimal solution (optimal value function and optimal policy) of the stochastic system, when the coefficient epsilon goes to zero. Specifically, conditions given in the paper guarantee the uniform on compact sets convergence of both the optimal value function and the optimal policy of the stochastic system to the optimal value function and the optimal policy of the deterministic one, when epsilon goes to zero, respectively. Finally, two examples which illustrate the developed theory are presented.
Keywords: Stochastic Optimization, Markov Decision Process, Dynamic Programming, Total Discounted Cost, Deterministic Approximation, Inventory/Production System
EXTENSION of the file: .pdf
Special (Invited) Session: Discounted Markov Decision Processes for Small Noise Intensities
Organizer of the Session: 697-386
How Did you learn about congress: Francisco Tajonar Sanabria (ftajonar@fcfm.buap.mx), Alexander Correa Espinal (alcorrea@unalmed.edu.co), Alexander von Eye (voneye@msu.edu)
IP ADDRESS: 148.228.125.98
