Singular perturbations in ergodic control of diffusions

被引：12
|
作者：
Borkar, Vivek S. [1 ]
Gaitsgory, Vladimir [2 ]
机构：
[1] Tata Inst Fundamental Res, Sch Technol & Comp Sci, Bombay 400005, Maharashtra, India
[2] Univ S Australia, Ctr Ind & Appl Math, Adelaide, SA 5001, Australia
来源：
SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 2007年 / 46卷 / 05期
关键词：
controlled diffusions; two time-scales; singular perturbations; ergodic control; invariant probability measures;
D O I：
10.1137/060657327
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
Ergodic control of a nondegenerate diffusion with two time-scales is studied in the limiting case as the time-scale separation increases to infinity. It is shown that the limit problem is another ergodic control problem for the slow time-scale component alone, with its dynamics averaged over the (controlled) invariant probability measures for the fast component. These measures in turn can be treated as the "effective control variable".
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页码：1562 / 1577
页数：16
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