On continuous-time discounted stochastic dynamic programming (Q805498): Difference between revisions
From MaRDI portal
Revision as of 17:32, 21 June 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | On continuous-time discounted stochastic dynamic programming |
scientific article |
Statements
On continuous-time discounted stochastic dynamic programming (English)
0 references
1991
0 references
The paper deals with a continuous-time discounted dynamic programming problem in a Markov decision model. In detail, the aim of the paper is to study the relation between the original dynamic constrained problem and a Lagrangian-type programming problem. For this the Lagrangian function and a weak optimal solution are defined. Furthermore, assumptions are introduced under which both problems are equivalent. The Lagrangian duality theorem is presented at the end of the paper.
0 references
continuous-time discounted dynamic programming
0 references
Markov decision
0 references
Lagrangian duality
0 references
0 references
0 references