Approximating infinite horizon stochastic optimal control in discrete time with constraints
Publication:2507412
DOI10.1007/s10479-006-6167-xzbMath1122.93084OpenAlexW2029559833MaRDI QIDQ2507412
Publication date: 11 October 2006
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-006-6167-x
optimal controlinfinite horizonstochastic programmingdynamic programmingepi-convergencevariational analysis
Set-valued and variational analysis (49J53) Optimal stochastic control (93E20) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Duality theory (optimization) (49N15)
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Cites Work
- Existence Results and Finite Horizon Approximates for Infinite Horizon Optimization Problems
- Finite horizon approximations of infinite horizon linear programs
- Approximations of Dynamic Programs, I
- Approximations of Dynamic Programs, II
- Monotonicity and bounds for convex stochastic control models
- Variational Analysis
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