{"title":"Some big issues with small noise limits in Markov decision processes","authors":"Vivek S. Borkar","doi":"10.1016/j.sysconle.2024.105972","DOIUrl":null,"url":null,"abstract":"<div><div>Using the framework of Markov decision processes (equivalently, controlled Markov chains) as a test case, we point out some non-robustness issues that arise in small noise limits in stochastic control. This is used to motivate a novel formulation of multi-chain Markov decision processes.</div></div>","PeriodicalId":49450,"journal":{"name":"Systems & Control Letters","volume":"196 ","pages":"Article 105972"},"PeriodicalIF":2.5000,"publicationDate":"2025-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Systems & Control Letters","FirstCategoryId":"94","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0167691124002603","RegionNum":3,"RegionCategory":"计算机科学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"2024/12/5 0:00:00","PubModel":"Epub","JCR":"Q3","JCRName":"AUTOMATION & CONTROL SYSTEMS","Score":null,"Total":0}
引用次数: 0
Abstract
Using the framework of Markov decision processes (equivalently, controlled Markov chains) as a test case, we point out some non-robustness issues that arise in small noise limits in stochastic control. This is used to motivate a novel formulation of multi-chain Markov decision processes.
期刊介绍：
Founded in 1981 by two of the pre-eminent control theorists, Roger Brockett and Jan Willems, Systems & Control Letters is one of the leading journals in the field of control theory. The aim of the journal is to allow dissemination of relatively concise but highly original contributions whose high initial quality enables a relatively rapid review process. All aspects of the fields of systems and control are covered, especially mathematically-oriented and theoretical papers that have a clear relevance to engineering, physical and biological sciences, and even economics. Application-oriented papers with sophisticated and rigorous mathematical elements are also welcome.
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