Iterative algorithms for solving undiscounted bellman equations

DOI10.1080/01630569008816367MaRDI QIDQ3032902zbMATH OpenOpenAlexFDO

Authors

Publication date 1990

Published in Numerical Functional Analysis and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/01630569008816367

zbMATH Keywords

optimal stopping time problemsingular stochastic control problemsundiscounted Bellman equations

Mathematics Subject Classification ID

Numerical methods based on necessary conditions (49M05) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20)

Recommendations

• Two adaptively stepped monotone algorithms for solving discounted dynamic programming equations
• Elementary results on solutions to the Bellman equation of dynamic programming: existence, uniqueness, and convergence
• scientific article; zbMATH DE number 4187029
• A monotone iterative algorithm for a discrete Hamilton-Jacobi-Bellman equation
• scientific article; zbMATH DE number 1932346

Cites work

• An optimal stopping time problem with time average cost in a bounded interval
• Applications of fixed-point methods to discrete variational and quasi- variational inequalities
• Contraction mappings underlying undiscounted Markov decision problems
• Dynamic programming, Markov chains, and the method of successive approximations
• scientific article; zbMATH DE number 3126094 (Why is no real title available?)
• scientific article; zbMATH DE number 3148886 (Why is no real title available?)
• scientific article; zbMATH DE number 3505708 (Why is no real title available?)
• Iterative solution of the functional equations of undiscounted Markov renewal programming
• Singular control problems in bounded intervals
• Stochastic optimal control. The discrete time case

Cited in

(4)

• Alternating direction algorithms for solving Hamilton-Jacobi-Bellman equations
• Interval iteration algorithm for MDPs and IMDPs
• A multidimensional optimal stopping-time problem, with time-average criterion
• Domain decomposition algorithms for solving hamilton-jacobi-bellman equations

This page was built for publication: Iterative algorithms for solving undiscounted bellman equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3032902)