Singular Perturbations in Stochastic Ergodic Control Problems

2012 ◽  
Vol 50 (6) ◽  
pp. 3203-3223
Author(s):  
K. Suresh Kumar
Keyword(s):  
Singular Perturbations ◽  
Control Problems ◽  
Ergodic Control

scholarly journals Ergodic control of diffusions with random intervention times

2021 ◽  
Vol 58 (1) ◽  
pp. 1-21
Author(s):  
Harto Saarinen ◽  
Jukka Lempa
Keyword(s):  
Optimal Solution ◽  
Singular Control ◽  
Control Policy ◽  
Control Problems ◽  
Ergodic Control ◽  
Linear Diffusion ◽  
One Dimensional ◽  
And Diffusion ◽  
Independent Poisson Process ◽  
Exact Amount

AbstractWe study an ergodic singular control problem with constraint of a regular one-dimensional linear diffusion. The constraint allows the agent to control the diffusion only at the jump times of an independent Poisson process. Under relatively weak assumptions, we characterize the optimal solution as an impulse-type control policy, where it is optimal to exert the exact amount of control needed to push the process to a unique threshold. Moreover, we discuss the connection of the present problem to ergodic singular control problems, and illustrate the results with different well-known cost and diffusion structures.

Singular perturbations in optimal control problems

1986 ◽  
Vol 34 (3) ◽  
pp. 1579-1629 ◽  
Author(s):  
A. B. Vasil'eva ◽  
M. G. Dmitriev
Keyword(s):  
Optimal Control ◽  
Singular Perturbations ◽  
Optimal Control Problems ◽  
Control Problems

Singular Perturbations in Ergodic Control of Diffusions

2007 ◽  
Vol 46 (5) ◽  
pp. 1562-1577 ◽  
Author(s):  
Vivek S. Borkar ◽  
Vladimir Gaitsgory
Keyword(s):  
Singular Perturbations ◽  
Ergodic Control
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