Show simple item record

dc.contributor.authorFilar, Jerzy A
dc.contributor.authorGondzio, Jacek
dc.contributor.authorHaurie, Alain
dc.contributor.authorMoresino, Francesco
dc.contributor.authorVial, Jean-Philippe
dc.date.accessioned2012-09-14T01:41:18Z
dc.date.available2012-09-14T01:41:18Z
dc.date.issued2000
dc.identifier.citationFilar, J.A., Gondzio, J., Haurie, A., Moresino, F., and Vial, J.-Ph., 2000. Decomposition and parallel processing techniques for two-time scale controlled Markov chains. Proceedings of the 39th IEEE Conference on Decision and Control, vol. 1, 711-716.en
dc.identifier.isbn780366387-
dc.identifier.urihttp://hdl.handle.net/2328/26288
dc.description.abstractThis paper deals with a class of ergodic control problems for systems described by Markov chains with strong and weak interactions. These systems are composed of a set of m subchains that are weakly coupled. Using results recently established by Abbad et al. one formulates a limit control problem the solution of which can be obtained via an associated non-differentiable convex programming (NDCP) problem. The technique used to solve the NDCP problem is the Analytic Center Cutting Plane Method (ACCPM) which implements a dialogue between, on one hand, a master program computing the analytical center of a localization set containing the solution and, on the other hand, an oracle proposing cutting planes that reduce the size of the localization set at each main iteration. The interesting aspect of this implementation comes from two characteristics: (i) the oracle proposes cutting planes by solving reduced sized Markov Decision Problems (MDP) via a linear program (LP) or a policy iteration method; (ii) several cutting planes can be proposed simultaneously through a parallel implementation on m processors. The paper concentrates on these two aspects and shows, on a large scale MDP obtained from the numerical approximation "a la Kushner-Dupuis” of a singularly perturbed hybrid stochastic control problem, the important computational speed-up obtained.en
dc.language.isoen
dc.publisherInstitute of Electrical and Electronic Engineersen
dc.subjectMathematicsen
dc.subjectMarkov Decision Processesen
dc.titleDecomposition and parallel processing techniques for two-time scale controlled Markov chainsen
dc.typeArticleen


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record