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A vector minmax problem for controlled Markov chains (1011.0675v1)

Published 2 Nov 2010 in math.PR

Abstract: 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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