Discounted Markov control processes induced by deterministic systems

MaRDI QIDQ5389901zbMATH OpenFDO

Authors Hugo Cruz-Suárez, Raúl Montes-de-Oca

Publication date 23 April 2012

Full work available at URL https://eudml.org/doc/33830, http://www.kybernetika.cz/content/2006/6/647

zbMATH Keywords

deterministic control systemdiscounted Markov control processEuler equationrandom noise

Mathematics Subject Classification ID

Markov and semi-Markov decision processes (90C40) Optimal stochastic control (93E20)

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Cites work

• Adaptive Markov control processes
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• Dynamic General Equilibrium Modelling
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• Mathematical Methods and Models for Economists
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• On the Differentiability of the Value Function in Dynamic Models of Economics
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Cited in

(8)

• A version of the Euler equation in discounted Markov decision processes
• Optimal strategies for a fishery model applied to utility functions
• Approximate dynamic programming for stochastic \(N\)-stage optimization with application to optimal consumption under uncertainty
• An envelope theorem and some applications to discounted Markov decision processes
• A consumption-investment problem modelled as a discounted Markov decision process
• Controlled Markov set-chains with discounting
• Suboptimal Policies for Stochastic N-Stage Optimization: Accuracy Analysis and a Case Study from Optimal Consumption
• Partially observable Markov decision processes with partially observable random discount factors

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