Stochastic control via direct comparison
Publication:633815
DOI10.1007/s10626-010-0093-4zbMath1210.93081MaRDI QIDQ633815
De-Xin Wang, Yi-Fan Xu, Tao Lü, Cao, Xiren
Publication date: 30 March 2011
Published in: Discrete Event Dynamic Systems (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10626-010-0093-4
dynamic programming; Markov decision processes; Poisson equation; perturbation analysis; HJB equation; performance potentials; sensitivity-based optimization
60J25: Continuous-time Markov processes on general state spaces
49L20: Dynamic programming in optimal control and differential games
90C15: Stochastic programming
93C70: Time-scale analysis and singular perturbations in control/observation systems
90C39: Dynamic programming
93E20: Optimal stochastic control
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