Publication Cover
Applicable Analysis
An International Journal
Volume 17, 1984 - Issue 4
26
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Original Articles

Analytically measurable selection of epsilon optimal transition kernals

Pages 263-282 | Published online: 02 May 2007
 

Abstract

The problem of existence of ah ε-optimal transition kernel for a canonical continuous time stochastic process with a general cost variable is considered. An analytically measurable, ε-optimal kernel exists if the state space is a compact Banach space, the cost variable is lower-semi-analytic, and the graph of the admissibility function is an analytic set. The result is applied to a problem in which the controller is to optimally select transition probabilities for a non-Markovian step process based on statistical estimates of holding time distributions.

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