Control of diffusions via linear programming

DOI10.1007/978-1-4419-1642-6_16MaRDI QIDQ3001282zbMATH OpenOpenAlexFDO

Authors Jiarui Han, Benjamin Van Roy

Publication date 31 May 2011

Published in International Series in Operations Research & Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-1-4419-1642-6_16

Mathematics Subject Classification ID

Convex programming (90C25) Applications of mathematical programming (90C90) Dynamic programming (90C39) Portfolio theory (91G10) Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.) (90C08) Semi-infinite programming (90C34)

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Cited in

(6)

• From infinite to finite programs: explicit error bounds with applications to approximate dynamic programming
• Relationship between least squares Monte Carlo and approximate linear programming
• Data-driven optimal control with a relaxed linear program
• Linear programming and the control of diffusion processes
• A linear programming methodology for approximate dynamic programming
• Solving the drift control problem

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