A vector minmax problem for controlled Markov chains

Details A vector minmax problem for controlled Markov chains A vector minmax problem for controlled Markov chains

2010-11-02

arxiv.org/abs/1011.0675v1

Mathematics

Probability

15 pages

Scientific paper

The problem of controlling a finite state Markov chain in the presence of an
adversary so as to ensure desired performance levels for a vector of objectives
is cast in the framework of Blackwell approachability. Relying on an elementary
two time scale construction a control scheme is proposed which ensures almost
sure convergence to the desired set regardless of the adversarial actions.

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