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".

引用

页码：1562 / 1577

页数：16

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