DocumentCode :
3082390
Title :
Analysis of an adaptive control scheme for a partially observed controlled Markov chain
Author :
Arapostathis, Aristotle ; Fernandez-Gaucherand, E. ; Marcus, Steven I.
Author_Institution :
Dept. of Electr. & Comput. Eng., Texas Univ., Austin, TX, USA
fYear :
1990
fDate :
5-7 Dec 1990
Firstpage :
1438
Abstract :
The authors present parameter estimation techniques based on the information available after actions that reset the state to a known value are taken. At these times, the (augmented) state process `regenerates,´ its future evolution becoming independent of the past. Using the ordinary differential equation method, w.p.1 convergence of the parameter estimates to the true (unknown) parameter θ0 is demonstrated for two parameter estimation schemes of this type. Then, given any sequence of parameter estimates which is measurable with respect to the filtration generated by the observations and converges w.p.1 to θ0, the expected long-run average cost incurred by the certainty equivalent adaptive policy is the same as that incurred by the optimal stationary policy corresponding to the true parameter. The latter is obtained by a detailed analysis which uses the known parameters
Keywords :
Markov processes; adaptive control; parameter estimation; stochastic systems; adaptive control scheme; augmented state process regeneration; convergence; expected long-run average cost; ordinary differential equation; parameter estimation; partially observed controlled Markov chain; Adaptive control; Communication networks; Communication system control; Linear systems; Maximum likelihood detection; Nonlinear filters; Parameter estimation; Recursive estimation; State estimation; Stochastic processes;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Decision and Control, 1990., Proceedings of the 29th IEEE Conference on
Conference_Location :
Honolulu, HI
Type :
conf
DOI :
10.1109/CDC.1990.203849
Filename :
203849
Link To Document :
بازگشت