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Kybernetika 45(3):475-490, 2009.

Asymptotic Properties and Optimization of Some Non-Markovian Stochastic Processes

Evgueni Gordienko, Antonio Garcia and Juan Ruiz de Chavez


Abstract:

We study the limit behavior of certain classes of dependent random sequences (processes) which do not possess the Markov property. Assuming these processes depend on a control parameter we show that the optimization of the control can be reduced to a problem of nonlinear optimization. Under certain hypotheses we establish the stability of such optimization problems.


Keywords: nonmarkovian control sequence; average cost; attracting point; nonlinear optimitation; stability;


AMS: 62M09; 93E20;


full-text.pdf available from August 2009
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BIB TeX

@article{kyb:2009:3:475-490,

author = {Gordienko, Evgueni and Garcia, Antonio and de Chavez, Juan Ruiz},

title = {Asymptotic Properties and Optimization of Some Non-Markovian Stochastic Processes},

journal = {Kybernetika},

volume = {45},

year = {2009},

number = {3},

pages = {475-490}

publisher = {{\'U}TIA, AV {\v C}R, Prague },

}


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