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Artículos de revistas sobre el tema "Ergodic control"

Autor: Grafiati

Publicado: 4 de junio de 2021

Última modificación: 11 de marzo de 2023

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1

Arisawa, M. y P. L. Lions. "On ergodic stochastic control". Communications in Partial Differential Equations 23, n.º 11-12 (enero de 1998): 2187–217. http://dx.doi.org/10.1080/03605309808821413.

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2

Fuhrman, Marco, Ying Hu y Gianmario Tessitore. "Ergodic BSDEs and Optimal Ergodic Control in Banach Spaces". SIAM Journal on Control and Optimization 48, n.º 3 (enero de 2009): 1542–66. http://dx.doi.org/10.1137/07069849x.

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3

Stettner, Łukasz. "On ergodic impulsive control problems". Stochastics 18, n.º 1 (julio de 1986): 49–72. http://dx.doi.org/10.1080/17442508608833400.

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4

Basak, Gopal K., Vevek S. Borkar y Mrinal K. Ghosh. "Ergodic control of degenerate diffusions". Stochastic Analysis and Applications 15, n.º 1 (enero de 1997): 1–17. http://dx.doi.org/10.1080/07362999708809460.

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5

Ghosh, Mrinal K., Aristotle Arapostathis y Steven I. Marcus. "Ergodic Control of Switching Diffusions". SIAM Journal on Control and Optimization 35, n.º 6 (noviembre de 1997): 1952–88. http://dx.doi.org/10.1137/s0363012996299302.

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6

Kamarianakis, Yiannis. "Ergodic control of diffusion processes". Journal of Applied Statistics 40, n.º 4 (abril de 2013): 921–22. http://dx.doi.org/10.1080/02664763.2012.750440.

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7

Borkar, Vivek S. y Mrinal K. Ghosh. "Ergodic control of multidimensional diffusions, II: Adaptive control". Applied Mathematics & Optimization 21, n.º 1 (enero de 1990): 191–220. http://dx.doi.org/10.1007/bf01445163.

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8

Menaldi, Jose Luis y Maurice Robin. "On ergodic control of switching processes". Communications in Information and Systems 21, n.º 4 (2021): 591–621. http://dx.doi.org/10.4310/cis.2021.v21.n4.a4.

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9

Budhiraja, Amarjit, Paul Dupuis, Pierre Nyquist y Guo-Jhen Wu. "Quasistationary distributions and ergodic control problems". Stochastic Processes and their Applications 145 (marzo de 2022): 143–64. http://dx.doi.org/10.1016/j.spa.2021.12.004.

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10

Fioravanti, André R., Jakub Mareček, Robert N. Shorten, Matheus Souza y Fabian R. Wirth. "On the ergodic control of ensembles". Automatica 108 (octubre de 2019): 108483. http://dx.doi.org/10.1016/j.automatica.2019.06.035.

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11

Borkar, V. S. "On ergodic control of degenerate diffusions". Journal of Optimization Theory and Applications 86, n.º 1 (julio de 1995): 251–61. http://dx.doi.org/10.1007/bf02193470.

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12

Stettner, ? "On ergodic stopping and impulsive control problems for nonuniformly ergodic Markov processes". Applied Mathematics & Optimization 19, n.º 1 (enero de 1989): 75–95. http://dx.doi.org/10.1007/bf01448193.

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13

Lions, P. L. y B. Perthame. "Quasi-Variational Inequalities and Ergodic Impulse Control". SIAM Journal on Control and Optimization 24, n.º 4 (julio de 1986): 604–15. http://dx.doi.org/10.1137/0324036.

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14

Di Masp, G. B. y Ł. Stettner. "Bayesian ergodic adaptive control of diffusion processes". Stochastics and Stochastic Reports 60, n.º 3-4 (abril de 1997): 155–83. http://dx.doi.org/10.1080/17442509708834104.

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15

Duncan, T., B. Pasik-Duncan y L. Stettner. "On ergodic control of stochastic evolution equations". Stochastic Analysis and Applications 15, n.º 5 (enero de 1997): 723–50. http://dx.doi.org/10.1080/07362999708809504.

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16

Kumar, K. Suresh. "Singular Perturbations in Stochastic Ergodic Control Problems". SIAM Journal on Control and Optimization 50, n.º 6 (enero de 2012): 3203–23. http://dx.doi.org/10.1137/100782668.

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17

Borkar, Vivek S. "Ergodic control of partially observed Markov chains". Systems & Control Letters 34, n.º 4 (julio de 1998): 185–89. http://dx.doi.org/10.1016/s0167-6911(98)00016-4.

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18

Menaldi, J. L. "Ergodic Control of Reflected Diffusions with Jumps". Applied Mathematics and Optimization 35, n.º 2 (1 de marzo de 1997): 117–37. http://dx.doi.org/10.1007/s002459900040.

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19

Menaldi, J. L., M. Robin y M. I. Taksar. "Singular ergodic control for multidimensional Gaussian processes". Mathematics of Control, Signals, and Systems 5, n.º 1 (marzo de 1992): 93–114. http://dx.doi.org/10.1007/bf01211978.

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20

Borkar, Vivek S. y Vladimir Gaitsgory. "Singular Perturbations in Ergodic Control of Diffusions". SIAM Journal on Control and Optimization 46, n.º 5 (enero de 2007): 1562–77. http://dx.doi.org/10.1137/060657327.

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21

Menaldi, J. L. y M. Robin. "Ergodic control of reflected diffusions with jumps". Applied Mathematics & Optimization 35, n.º 2 (marzo de 1997): 117–37. http://dx.doi.org/10.1007/bf02683323.

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22

Hynd, Ryan. "The Eigenvalue Problem of Singular Ergodic Control". Communications on Pure and Applied Mathematics 65, n.º 5 (7 de noviembre de 2011): 649–82. http://dx.doi.org/10.1002/cpa.21383.

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23

Mannucci, Paola, Claudio Marchi y Nicoletta Tchou. "Singular perturbations for a subelliptic operator". ESAIM: Control, Optimisation and Calculus of Variations 24, n.º 4 (octubre de 2018): 1429–51. http://dx.doi.org/10.1051/cocv/2017063.

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We study some classes of singular perturbation problems where the dynamics of the fast variables evolve in the whole space obeying to an infinitesimal operator which is subelliptic and ergodic. We prove that the corresponding ergodic problem admits a solution which is globally Lipschitz continuous and it has at most a logarithmic growth at infinity. The main result of this paper establishes that, as ϵ → 0, the value functions of the singular perturbation problems converge locally uniformly to the solution of an effective problem whose operator and terminal data are explicitly given in terms of the invariant measure for the ergodic operator.

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24

Saarinen, Harto y Jukka Lempa. "Ergodic control of diffusions with random intervention times". Journal of Applied Probability 58, n.º 1 (25 de febrero de 2021): 1–21. http://dx.doi.org/10.1017/jpr.2020.80.

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AbstractWe study an ergodic singular control problem with constraint of a regular one-dimensional linear diffusion. The constraint allows the agent to control the diffusion only at the jump times of an independent Poisson process. Under relatively weak assumptions, we characterize the optimal solution as an impulse-type control policy, where it is optimal to exert the exact amount of control needed to push the process to a unique threshold. Moreover, we discuss the connection of the present problem to ergodic singular control problems, and illustrate the results with different well-known cost and diffusion structures.

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25

JONES, ROGER L., ROBERT KAUFMAN, JOSEPH M. ROSENBLATT y MÁTÉ WIERDL. "Oscillation in ergodic theory". Ergodic Theory and Dynamical Systems 18, n.º 4 (agosto de 1998): 889–935. http://dx.doi.org/10.1017/s0143385798108349.

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In this paper we establish a variety of square function inequalities and study other operators which measure the oscillation of a sequence of ergodic averages. These results imply the pointwise ergodic theorem and give additional information such as control of the number of upcrossings of the ergodic averages. Related results for differentiation and for the connection between differentiation operators and the dyadic martingale are also established.

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26

Ghosh, Mrinal K. y K. S. Mallikarjuna Rao. "Differential Games with Ergodic Payoff". SIAM Journal on Control and Optimization 43, n.º 6 (enero de 2005): 2020–35. http://dx.doi.org/10.1137/s0363012903404511.

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27

Menaldi, Jose Luis y Maurice Robin. "Ergodic impulse control with constraint: locally compact case". Banach Center Publications 122 (2020): 187–206. http://dx.doi.org/10.4064/bc122-11.

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28

Fercoq, Olivier, Marianne Akian, Mustapha Bouhtou y Stephane Gaubert. "Ergodic Control and Polyhedral Approaches to PageRank Optimization". IEEE Transactions on Automatic Control 58, n.º 1 (enero de 2013): 134–48. http://dx.doi.org/10.1109/tac.2012.2226103.

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29

Hidehiro, Kaise y Hideo Nagai. "Ergodic Type Bellman Equations of Risk-Sensitive Control". Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications 2000 (5 de mayo de 2000): 89–94. http://dx.doi.org/10.5687/sss.2000.89.

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30

Liu, Jingzhen, Ka Fai Cedric Yiu y Alain Bensoussan. "Ergodic control for a mean reverting inventory model". Journal of Industrial & Management Optimization 14, n.º 3 (2018): 857–76. http://dx.doi.org/10.3934/jimo.2017079.

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31

Menaldi, J. L. y M. Robin. "Singular ergodic control for multidimensional Gaussian–Poisson processes". Stochastics 85, n.º 4 (30 de mayo de 2013): 682–91. http://dx.doi.org/10.1080/17442508.2013.795569.

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32

Duncan, T. E., B. Maslowski y B. Pasik-Duncan. "Ergodic Boundary/Point Control of Stochastic Semilinear Systems". SIAM Journal on Control and Optimization 36, n.º 3 (mayo de 1998): 1020–47. http://dx.doi.org/10.1137/s0363012996303190.

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33

Borkar, V. S. "Dynamic programming for ergodic control with partial observations". Stochastic Processes and their Applications 103, n.º 2 (febrero de 2003): 293–310. http://dx.doi.org/10.1016/s0304-4149(02)00190-4.

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34

Ferone, Vincenzo, Ester Giarrusso, Basilio Messano y M. Rosaria Posteraro. "Isoperimetric inequalities for an ergodic stochastic control problem". Calculus of Variations and Partial Differential Equations 46, n.º 3-4 (22 de febrero de 2012): 749–68. http://dx.doi.org/10.1007/s00526-012-0502-7.

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35

Duncan, T. E., B. Pasik-Duncan y L. Stettner. "Ergodic and adaptive control of hidden Markov models". Mathematical Methods of Operations Research 62, n.º 2 (noviembre de 2005): 297–318. http://dx.doi.org/10.1007/s00186-005-0010-z.

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36

Menaldi, J. L. y M. Robin. "On Some Ergodic Impulse Control Problems with Constraint". SIAM Journal on Control and Optimization 56, n.º 4 (enero de 2018): 2690–711. http://dx.doi.org/10.1137/17m1147573.

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37

Borkar, Vivek S. y Mrinal K. Ghosh. "Ergodic and adaptive control of nearest-neighbor motions". Mathematics of Control, Signals, and Systems 4, n.º 1 (marzo de 1991): 81–98. http://dx.doi.org/10.1007/bf02551382.

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38

Borkar, Vivek S. y Mrinal K. Ghosh. "Ergodic and adaptive control of nearest-neighbor motions". Mathematics of Control, Signals, and Systems 5, n.º 4 (diciembre de 1992): 453. http://dx.doi.org/10.1007/bf02134015.

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39

Biswas, Anup y Somnath Pradhan. "Ergodic risk-sensitive control for regime-switching diffusions". Systems & Control Letters 170 (diciembre de 2022): 105399. http://dx.doi.org/10.1016/j.sysconle.2022.105399.

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40

Jiang, Da-Quan y Min Qian. "Ergodic Hyperbolic Attractors of Endomorphisms". Journal of Dynamical and Control Systems 12, n.º 4 (22 de septiembre de 2006): 465–88. http://dx.doi.org/10.1007/s10883-006-0002-1.

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41

Larsson, T., M. Patriksson y A. B. Strömberg. "Ergodic convergence in subgradient optimization". Optimization Methods and Software 9, n.º 1-3 (enero de 1998): 93–120. http://dx.doi.org/10.1080/10556789808805688.

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42

Ghosh, Mrinal Kanti y Somnath Pradhan. "Zero-sum risk-sensitive stochastic differential games with reflecting diffusions in the orthant". ESAIM: Control, Optimisation and Calculus of Variations 26 (2020): 114. http://dx.doi.org/10.1051/cocv/2020029.

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We study zero-sum games with risk-sensitive cost criterion on the infinite horizon where the state is a controlled reflecting diffusion in the nonnegative orthant. We consider two cost evaluation criteria: discounted cost and ergodic cost. Under certain assumptions, we establish the existence of saddle point equilibria. We obtain our results by studying the corresponding Hamilton–Jacobi–Isaacs equations. For the ergodic cost criterion, exploiting the stochastic representation of the principal eigenfunction, we have completely characterized saddle point equilibrium in the space of stationary Markov strategies.

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43

Birindelli, Isabeau, Françoise Demengel y Fabiana Leoni. "Ergodic pairs for singular or degenerate fully nonlinear operators". ESAIM: Control, Optimisation and Calculus of Variations 25 (2019): 75. http://dx.doi.org/10.1051/cocv/2018070.

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We study the ergodic problem for fully nonlinear operators which may be singular or degenerate when the gradient of solutions vanishes. We prove the convergence of both explosive solutions and solutions of Dirichlet problems for approximating equations. We further characterize the ergodic constant as the infimum of constants for which there exist bounded sub-solutions. As intermediate results of independent interest, we prove a priori Lipschitz estimates depending only on the norm of the zeroth order term, and a comparison principle for equations having no zero order terms.

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44

Otto, Samuel E. y Clarence W. Rowley. "Koopman Operators for Estimation and Control of Dynamical Systems". Annual Review of Control, Robotics, and Autonomous Systems 4, n.º 1 (3 de mayo de 2021): 59–87. http://dx.doi.org/10.1146/annurev-control-071020-010108.

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A common way to represent a system's dynamics is to specify how the state evolves in time. An alternative viewpoint is to specify how functions of the state evolve in time. This evolution of functions is governed by a linear operator called the Koopman operator, whose spectral properties reveal intrinsic features of a system. For instance, its eigenfunctions determine coordinates in which the dynamics evolve linearly. This review discusses the theoretical foundations of Koopman operator methods, as well as numerical methods developed over the past two decades to approximate the Koopman operator from data, for systems both with and without actuation. We pay special attention to ergodic systems, for which especially effective numerical methods are available. For nonlinear systems with an affine control input, the Koopman formalism leads naturally to systems that are bilinear in the state and the input, and this structure can be leveraged for the design of controllers and estimators.

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45

Cohen, Samuel N. y Ying Hu. "Ergodic BSDEs Driven by Markov Chains". SIAM Journal on Control and Optimization 51, n.º 5 (enero de 2013): 4138–68. http://dx.doi.org/10.1137/120885875.

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46

Guéant, Olivier y Iuliia Manziuk. "Optimal control on graphs: existence, uniqueness, and long-term behavior". ESAIM: Control, Optimisation and Calculus of Variations 26 (2020): 22. http://dx.doi.org/10.1051/cocv/2019071.

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The literature on continuous-time stochastic optimal control seldom deals with the case of discrete state spaces. In this paper, we provide a general framework for the optimal control of continuous-time Markov chains on finite graphs. In particular, we provide results on the long-term behavior of value functions and optimal controls, along with results on the associated ergodic Hamilton-Jacobi equation.

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47

Cohen, Samuel N. y Victor Fedyashov. "Nash equilibria for nonzero-sum ergodic stochastic differential games". Journal of Applied Probability 54, n.º 4 (30 de noviembre de 2017): 977–94. http://dx.doi.org/10.1017/jpr.2017.48.

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Abstract We consider nonzero-sum games where multiple players control the drift of a process, and their payoffs depend on its ergodic behaviour. We establish their connection with systems of ergodic backward stochastic differential equations, and prove the existence of a Nash equilibrium under generalised Isaac's conditions. We also study the case of interacting players of different type.

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48

Borkar, Vivek S. y Mrinal K. Ghosh. "Ergodic Control of Multidimensional Diffusions I: The Existence Results". SIAM Journal on Control and Optimization 26, n.º 1 (enero de 1988): 112–26. http://dx.doi.org/10.1137/0326007.

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49

Dlmasi, G. B. y L. Stettner. "Bayesian ergodic adaptive control of discrete time markov processes". Stochastics and Stochastic Reports 54, n.º 3-4 (agosto de 1995): 301–16. http://dx.doi.org/10.1080/17442509508834012.

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50

Fujita, Yasuhiro y Hiroaki Morimoto. "Ergodic Control Of Stochastic Differential Systems With Controller Constraints". Stochastics and Stochastic Reports 58, n.º 3-4 (octubre de 1996): 245–57. http://dx.doi.org/10.1080/17442509608834076.

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