A sparse Markov chain approximation of LQ-type stochastic control problems. (Q326794)
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scientific article; zbMATH DE number 6637797
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| English | A sparse Markov chain approximation of LQ-type stochastic control problems. |
scientific article; zbMATH DE number 6637797 |
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A sparse Markov chain approximation of LQ-type stochastic control problems. (English)
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12 October 2016
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stochastic optimal control
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Galerkin discretization scheme
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Markov chain approximation
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dynamic programming
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logarithmic transformation
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Markov state model
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0.8933652
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0.8883888
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0.8855417
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0.8805386
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