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Exponential rate of convergence of relative value iteration algorithms for ergodic controls of diffusions

Anugu, Sumith Reddy et al.
arXiv (OAI Expanded) · Papers
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optimization-and-controlprimaryprobability
In this paper, we investigate the rate of convergence of the relative value iteration (RVI) algorithms for diffusions in $\mathbb{R}^d$ under both the conventional ergodic cost (CEC) and ergodic risk-sensitive cost (ERSC) criteria, and under the uniform exponential stability condition. The existing
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