We consider a class of discrete-time stochastic control systems, with Borel state and action spaces, and possibly unbounded costs. The processes evolve according to the equation x t +1 =F(x t , a t , ξ t ), t=0, 1, ..., where the ξ t are i.i.d. random vectors whose common distribution is...

The paper deals with a class of semi-Markov control models with Borel state and control spaces, possibly unbounded costs, and unknown holding times distribution H. Assuming that H does not depend on state-action pairs, we combine suitable methods of statistical estimation of H with control...

The paper deals with a class of semi-Markov control models with Borel state and control spaces, possibly unbounded costs, and unknown holding times distribution H. Assuming that H does not depend on state-action pairs, we combine suitable methods of statistical estimation of H with control...

We consider a class of time-varying stochastic control systems, with Borel state and action spaces, and possibly unbounded costs. The processes evolve according to a discrete-time equation x n + 1 =G n (x n , a n , ξ n), n=0, 1, … , where the ξ n are i.i.d. ℜ k-valued random vectors whose...

We consider a class of time-varying stochastic control systems, with Borel state and action spaces, and possibly unbounded costs. The processes evolve according to a discrete-time equation x <Subscript>n + 1</Subscript>=G <Subscript>n</Subscript> (x <Subscript>n</Subscript> , a <Subscript>n</Subscript> , ξ<Subscript>n</Subscript>), n=0, 1, … , where the ξ<Subscript>n</Subscript> are i.i.d. ℜ<Superscript>k</Superscript>-valued random vectors whose...</superscript></subscript></subscript></subscript></subscript></subscript></subscript>

Statistical methods dealing with change detection and isolation in dynamical systems are based on algorithms deriving from hypothesis testing. As for any statistical test, the problem of threshold choice has to be addressed by taking into account the constraints fixed by the supervisors and the...