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math.OC2013
Linear PDEs and eigenvalue problems corresponding to ergodic stochastic optimization problems on compact manifolds
Joris Bierkens, Vladimir Y. Chernyak, Michael Chertkov +1
We consider long term average or `ergodic' optimal control poblems with a special structure: Control is exerted in all directions and the control costs are proportional to the squa…
math.OC2011★ 2 cited
KL-learning: Online solution of Kullback-Leibler control problems
Joris Bierkens, Bert Kappen
We introduce a stochastic approximation method for the solution of an ergodic Kullback-Leibler control problem. A Kullback-Leibler control problem is a Markov decision process on a…