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Haute école de gestion de Genève

Decomposition and parallel processing techniques for two-time scale controlled Markov chains

Filar, J.-A. ; Gondzio, J. ; Haurie, Alain ; Moresino, Francesco ; Vial, J.-P.

In: Proceedings of the 39th IEEE Conference on Decision and Control, 2000, 2000, vol. 1, p. 711-716

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 established by Abbad et al. (1992). We formulate a limit control problem the solution of which can be obtained via an associated nondifferentiable convex programming (NDCP) problem. The...