Email this article Analysis of criteria for long-run average in the problem of stochastic linear regulator
- Authors: Palamarchuk E.S.1,2
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Affiliations:
- Central Economics and Mathematics Institute
- National Research University Higher School of Economics
- Issue: Vol 77, No 10 (2016)
- Pages: 1756-1767
- Section: Stochastic Systems, Queueing Systems
- URL: https://journals.rcsi.science/0005-1179/article/view/150452
- DOI: https://doi.org/10.1134/S0005117916100039
- ID: 150452
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Abstract
The optimality criteria used in the problem of stochastic linear regulator over an infinite time horizon were analyzed. A certain criterion for long-run average and pathwise ergodic were shown to be inefficient with regard for the disturbance factor. Consideration was given to a new criterion of the extended long-run average and its use in the discounted control systems.
About the authors
E. S. Palamarchuk
Central Economics and Mathematics Institute; National Research University Higher School of Economics
Author for correspondence.
Email: e.palamarchuck@gmail.com
Russian Federation, Moscow; Moscow
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