Recursive self-tuning control of finite Markov chains
Volume 24 / 1997
Applicationes Mathematicae 24 (1997), 169-188
DOI: 10.4064/am-24-2-169-188
Abstract
A recursive self-tuning control scheme for finite Markov chains is proposed wherein the unknown parameter is estimated by a stochastic approximation scheme for maximizing the log-likelihood function and the control is obtained via a relative value iteration algorithm. The analysis uses the asymptotic o.d.e.s associated with these.
