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Adaptive control of Markov chains with average cost. (English) Zbl 1005.93053

An adaptive control system for solving a Markov control problem with long-run average cost is presented; here, system transitions and reward structure are unknown. An optimal policy and a corresponding system performance are derived.

MSC:

93E35 Stochastic learning and adaptive control
93C40 Adaptive control/observation systems
Full Text: DOI