RISK SENSITIVE ADAPTIVE CONTROL OF DISCRETE TIME MARKOV
PROCESSES
T. E. Duncan
B. Pasik-Duncan
. Stettner
Abstract: Adaptive control of discrete time Markov processes with an infinite horizon risk
sensitive cost functional is investigated. The continuity of the optimal risk sensitive cost with
respect to a parameter of the transition probability is verified. Two almost optimal adaptive
procedures that are based on the large deviations of the cost functional and discretized
maximum likelihood estimates are given. To justify the performance of the adaptive
procedure with observations of the cost, some large deviations estimates of the empirical
distributions of finite sequences of successive states of Markov processes are obtained. A
finite family of continuous control functions, where one control function is fixed after a
nonrandom time from each of the adaptive procedures, provides an almost optimal adaptive
control.
1991 AMS Mathematics Subject Classification: 93C40, 93E12, 93E20, 60J05.
Key words and phrases: Adaptive control, risk sensitive control, discrete time controlled
Markov processes, ergodic control.