| Texto completo | |
| Autor(es): |
Costa, O. L. V.
;
Dufour, F.
Número total de Autores: 2
|
| Tipo de documento: | Artigo Científico |
| Fonte: | Journal of Mathematical Analysis and Applications; v. 528, n. 2, p. 23-pg., 2023-06-27. |
| Resumo | |
The main goal of this paper is to study the adaptive infinite-horizon discounted continuous-time optimal control problem of piecewise deterministic Markov pro-cesses (PDMPs) with the control acting continuously on the jump intensity A and on the transition measure Q of the process. It is assumed that jump parameters (A and Q), as well the continuous and boundary costs (Cg and Ci respectively), de-pend on an unknown parameter 3*. It is shown that the principle of estimation and control holds, that is, the strategy consisting of choosing, at each stage n, an action according to an optimal stationary policy, where the true but unknown parameter 3 ⠂n, is asymptotically discount optimal, pro-3 ⠂n 3* is replaced by its estimated value vided that the sequence of estimators {3 ⠂n} of 3* is strongly consistent, that is, converge to 3* almost surely. In the framework of PDMPs, the so-called discrepancy function depends on the derivative along the flow of the value function as well as on some boundary conditions, which brings new challenges in the analysis of this problem.& COPY; 2023 Elsevier Inc. All rights reserved. (AU) | |
| Processo FAPESP: | 14/50851-0 - INCT 2014: Instituto Nacional de Ciência e Tecnologia para Sistemas Autônomos Cooperativos Aplicados em Segurança e Meio Ambiente |
| Beneficiário: | Marco Henrique Terra |
| Modalidade de apoio: | Auxílio à Pesquisa - Temático |