Small Noise Analysis for Piecewise Linear Stochastic Control Problems

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http://eprints.org/relation/isVersionOf https://pure.iiasa.ac.at/id/document/2967 http://eprints.org/relation/isVolatileVersionOf https://pure.iiasa.ac.at/id/document/2967 http://eprints.org/relation/isCoversheetVersionOf https://pure.iiasa.ac.at/id/document/2967 archive 351 disk0/00/00/29/28 2016-01-15 01:57:34 2021-08-27 17:12:53 2016-01-15 01:57:34 monograph show 2 Di Masi G.B. AL0595 Runggaldier W.J. AL1166 Small Noise Analysis for Piecewise Linear Stochastic Control Problems pub iis_met iis_mod prog_ado A discrete-time stochastic control problem is considered for a dynamical model with piecewise linear coefficients and not necessarily Gaussian disturbances. The cost criteria and the class of admissible controls include piecewise polynomial costs and piecewise linear controls respectively. It is shown that relevant asymptotic (for vanishing noise) properties of this problem coincide with the corresponding properties of a suitably chosen adaptive control problem with linear dynamics. In particular, it turns out that the optimal values of the two problems tend to coincide and that almost optimal controls for one problem are almost optimal also for the other. 1987-12 published WP-87-124 WP-87-124 10 1834 2346 public working_paper IIASA, Laxenburg, Austria 16 FALSE info:eu-repo/semantics/book