000029026 001__ 29026
000029026 005__ 20130605083003.0
000029026 0248_ $$aoai:doc.rero.ch:20120426154519-LS$$ppostprint$$prero_explore$$pcdu33$$zcdu34$$zthesis_urn$$zreport$$zthesis$$zbook$$zjournal$$zcdu16$$zhegge$$zpreprint$$zcdu1$$zdissertation
000029026 041__ $$aeng
000029026 080__ $$a33
000029026 100__ $$aHaurie, Alain$$uUniversité de Genève
000029026 245__ $$9eng$$aTwo-time scale controlled Markov chains$$ba decomposition and parallel processing approach
000029026 269__ $$c2007
000029026 520__ $$9eng$$aThis correspondence deals with a class of ergodic control problems for systems described by Markov chains with strong and weak interactions. These systems are composed of a set of subchains that are weakly coupled. Using results already available in the literature one formulates a limit control problem the solution of which can be obtained via an associated nondifferentiable convex programming (NDCP) problem. The technique used to solve the NDCP problem is the Analytic Center Cutting Plane Method (ACCPM) which implements a dialogue between, on one hand, a master program computing the analytical center of a localization set containing the solution and, on the other hand, an oracle proposing cutting planes that reduce the size of the localization set at each main iteration. The interesting aspect of this implementation comes from two characteristics: (i) the oracle proposes cutting planes by solving reduced sized Markov Decision Problems (MDP) via a linear program (LP) or a policy iteration method; (ii) several cutting planes can be proposed simultaneously through a parallel implementation on processors. The correspondence concentrates on these two aspects and shows, on a large scale MDP obtained from the numerical approximation ldquoa la Kushner-Dupuisrdquo of a singularly perturbed hybrid stochastic control problem, the important computational speed-up obtained.
000029026 695__ $$9eng$$adecomposition technique ; interior point method ; singular perturbations ; two-time scale Markov chain
000029026 700__ $$aMoresino, Francesco$$uHaute école de gestion de Genève
000029026 773__ $$g2007/52/12/2325 - 2331$$tIEEE transactions on automatic control
000029026 8564_ $$fmoresino_haurie_2007_two_time_scale.pdf$$qapplication/pdf$$s437258$$uhttp://doc.rero.ch/record/29026/files/moresino_haurie_2007_two_time_scale.pdf$$yorder:1$$zTexte intégral
000029026 918__ $$aHaute école de gestion de Genève$$bCampus de Battelle, Bâtiment F, 7 route de Drize, 1227 Carouge$$cCentre de recherche appliqué en gestion (CRAG)
000029026 919__ $$aHaute école de gestion de Genève$$bGenève$$ddoc.support@rero.ch
000029026 980__ $$aPOSTPRINT$$bHEGGE$$fART_JOURNAL
000029026 990__ $$a20120426154519-LS