4 papers · 1 filter
Jacobi-like relative value iteration algorithms for ergodic risk-sensitive control of Markov chains
Sumith Reddy Anugu, Guodong Pang, Nicola Sassone
We propose a Jacobi-like relative value iteration (RVI) algorithm and a Gauss-Seidel-like implementation for the ergodic risk-sensitive control (ERSC) problem of a controlled discr…
Exponential rate of convergence of relative value iteration algorithms for ergodic controls of diffusions
Sumith Reddy Anugu, Guodong Pang
In this paper, we investigate the rate of convergence of the relative value iteration (RVI) algorithms for diffusions in under both the conventional ergodic cost (CE…
Ergodic Risk Sensitive Control of Diffusions under a General Structural Hypothesis
Sumith Reddy Anugu, Guodong Pang
We study the infinite-horizon average (ergodic) risk sensitive control problem for diffusion processes under a general structural hypothesis: there is a partition of state space in…
Strong and weak quantitative estimates in slow-fast diffusions using filtering techniques
Sumith Reddy Anugu, Vivek S. Borkar
The behavior of slow-fast diffusions as the separation of scale diverges is a well-studied problem in the literature. In this short paper, we revisit this problem and obtain a new…