SIAM Journal on Control and Optimization, Vol.46, No.5, 1562-1577, 2007
Singular perturbations in ergodic control of diffusions
Ergodic control of a nondegenerate diffusion with two time-scales is studied in the limiting case as the time-scale separation increases to infinity. It is shown that the limit problem is another ergodic control problem for the slow time-scale component alone, with its dynamics averaged over the (controlled) invariant probability measures for the fast component. These measures in turn can be treated as the "effective control variable".
Keywords:controlled diffusions;two time-scales;singular perturbations;ergodic control;invariant probability measures