6 papers
On the Approximation of Optimal Control in Regime-Switching Diffusions
Somnath Pradhan, Dinesh Rathia
We study approximation and structural simplification of optimal control policies for controlled regime-switching diffusion processes for discounted, ergodic, finite-horizon, and ex…
Near Optimality of Discrete-Time Approximations for Controlled McKean-Vlasov and Large Interacting Particle Diffusions
Somnath Pradhan, Serdar Yuksel
We study stochastic optimal control problems for (possibly degenerate) McKean-Vlasov controlled diffusions and obtain discrete-time as well as finite interacting particle approxima…
Reinforcement Learning for Discounted and Ergodic Control of Diffusion Processes
Erhan Bayraktar, Ali D. Kara, Somnath Pradhan +1
This paper develops a quantized Q-learning algorithm for the optimal control of controlled diffusion processes on under both discounted and ergodic (average) cost cr…
Robustness of optimal control for controlled regime-switching diffusions with incorrect models
Somnath Pradhan, Dinesh Rathia
This paper investigates the robustness of stochastic optimal control for controlled regime switching diffusions. We consider systems driven by both continuous fluctuations and disc…
Controlled Diffusions under Full, Partial and Decentralized Information: Existence of Optimal Policies and Discrete-Time Approximations
Somnath Pradhan, Serdar Yüksel
We present existence and discrete-time approximation results on optimal control policies for continuous-time stochastic control problems under a variety of information structures.…
Discrete-Time Approximations of Controlled Diffusions with Infinite Horizon Discounted and Average Cost
Somnath Pradhan, Serdar Yuksel
We present discrete-time approximation of optimal control policies for infinite horizon discounted/ergodic control problems for controlled diffusions in $\Rd$\,. In particular, our…