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Annals of Operations Research

, Volume 28, Issue 1, pp 169–184 | Cite as

Nonparametric estimation and adaptive control in a class of finite Markov decision chains

  • Rolando Cavazos-Cadena
Research Contributions

Abstract

We consider a class of Markov decision processes withfinite state and action spaces which, essentially, is determined by the following condition: The state space isirreducible under the action of any stationary policy. However, except by this restriction, the transition law iscompletely unknown to the controller. In this context, we find a set of policies under which thefrequency estimators of the transition law are strongly consistent and then, this result is applied to constructadaptive asymptotically discount-optimal policies.

Keywords

Finite Markov decision chains unknown transition law frequency estimators asymptotic discount optimality principle of estimation and control nonstationary value iteration 

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Copyright information

© J.C. Baltzer A.G. Scientific Publishing Company 1991

Authors and Affiliations

  • Rolando Cavazos-Cadena
    • 1
  1. 1.Departamento de Estadística y CálculoUniversidad Autónoma Agraria Antonio Narro, BuenavistaSaltillo, COAHMéxico

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