Markov Chain Approximations for Deterministic Control Problems with Affine Dynamics and Quadratic Cost in the Control

DOI10.1137/S0036142997323521zbMath0933.65073OpenAlexW2154018969MaRDI QIDQ4243582

Michelle Boué, Paul Dupuis

Publication date: 19 May 1999

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0036142997323521

zbMATH Keywords

convergenceweak convergencerobust controlcomputer visioncalculus of variationslarge deviationsfinite difference approximationrobust filteringdeterministic optimal controlMarkov chain approximation

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Dynamic programming in optimal control and differential games (49L20) Signal detection and filtering (aspects of stochastic processes) (60G35) Numerical analysis or methods applied to Markov chains (65C40) Large deviations (60F10) Existence theories for optimal control problems involving ordinary differential equations (49J15)

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