18 citations · 36 across the 17 of their papers we have counts for
17 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…
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…
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…
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…
Near Optimality of Lipschitz and Smooth Policies in Controlled Diffusions
Somnath Pradhan, Serdar Yuksel
For optimal control of diffusions under several criteria, due to computational or analytical reasons, many studies have a apriori assumed control policies to be Lipschitz or smooth…
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.…
Robustness of Optimal Controlled Diffusions with Near-Brownian Noise via Rough Paths Theory
Somnath Pradhan, Zachary Selk, Serdar Yüksel
In this article we show a robustness theorem for controlled stochastic differential equations driven by approximations of Brownian motion. Often, Brownian motion is used as an idea…
Continuity of Cost in Borkar Control Topology and Implications on Discrete Space and Time Approximations for Controlled Diffusions under Several Criteria
Somnath Pradhan, Serdar Yüksel
We first show that the discounted cost, cost up to an exit time, and ergodic cost involving controlled non-degenerate diffusions are continuous on the space of stationary control p…
Ergodic Risk-Sensitive Control for Regime-Switching Diffusions
Anup Biswas, Somnath Pradhan
In this article, we study the ergodic risk-sensitive control problem for controlled regime-switching diffusions. Under a blanket stability hypothesis, we solve the associated nonli…
Nonzero-Sum Risk-Sensitive Stochastic Differential Games: A Multi-parameter Eigenvalue Problem Approach
Mrinal K. Ghosh, K. Suresh Kumar, Chandan Pal +1
We study nonzero-sum stochastic differential games with risk-sensitive ergodic cost criterion. Under certain conditions, using multi-parameter eigenvalue approach, we establish the…
Robustness of Stochastic Optimal Control to Approximate Diffusion Models under Several Cost Evaluation Criteria
Somnath Pradhan, Serdar Yuksel
In control theory, typically a nominal model is assumed based on which an optimal control is designed and then applied to an actual (true) system. This gives rise to the problem of…
Discrete-time Zero-Sum Games for Markov chains with risk-sensitive average cost criterion
Mrinal K. Ghosh, Subrata Golui, Chandan Pal +1
We study zero-sum stochastic games for controlled discrete time Markov chains with risk-sensitive average cost criterion with countable state space and Borel action spaces. The pay…
Nonzero-sum risk-sensitive continuous-time stochastic games with ergodic costs
Mrinal K Ghosh, Subrata Golui, Chandan Pal +1
We study nonzero-sum stochastic games for continuous time Markov decision processes on a denumerable state space with risk-sensitive ergodic cost criterion. Transition rates and co…
Ergodic Risk-Sensitive Control of Markov Processes on Countable State Space Revisited
Anup Biswas, Somnath Pradhan
We consider a large family of discrete and continuous time controlled Markov processes and study an ergodic risk-sensitive minimization problem. Under a blanket stability assumptio…
On the monotonicity property of the generalized eigenvalue for weakly-coupled cooperative elliptic systems
Ari Arapostathis, Anup Biswas, Somnath Pradhan
We consider general linear non-degenerate weakly-coupled cooperative elliptic systems and study certain monotonicity properties of the generalized principal eigenvalue in $\mathbb{…
On the policy improvement algorithm for ergodic risk-sensitive control
Ari Arapostathis, Anup Biswas, Somnath Pradhan
In this article we consider the ergodic risk-sensitive control problem for a large class of multidimensional controlled diffusions on the whole space. We study the minimization and…