Optimal control of a one-dimensional storage process (Q1062595): Difference between revisions
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Latest revision as of 18:40, 14 June 2024
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English | Optimal control of a one-dimensional storage process |
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Optimal control of a one-dimensional storage process (English)
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1985
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The author considers the discounted and ergodic control problems related to a one-dimensional storage process. He used feedback strategies and shows that, under mild conditions, the value function is differentiable and satisfies an integro-differential equation with boundary condition (Bellman equation). Moreover an optimal strategy \(\pi^*\) is derived by measurable selection and the origin is reachable under \(\pi^*\). The ergodic control is related to the limit of discounted control, as the discount factor tends to 0.
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controlled jump process
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discounted and ergodic control problems
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one- dimensional storage process
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feedback strategies
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Bellman equation
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optimal strategy
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measurable selection
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