Optimal control by random sequences with constraints

DOI10.1007/BF01156595MaRDI QIDQ1177828zbMATH OpenOpenAlexFDO

Authors V. M. Khametov, A. B. Piunovskiy

Publication date 26 June 1992

Published in Mathematical Notes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf01156595

zbMATH Keywords

Controllable stochastic sequenceslinear programming problem

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Review text

Controllable stochastic sequences with countable sets of states and controls are considered. The main results concern the case when the space of admissible strategies has the form of a compact convex set. Then the considered optimization problem becomes equivalent to some linear programming problem determined on some limit sets of admissible strategies. Using this, the question about the existence of optimal strategies is researched and a strategy class sufficient for solving the optimal control problem is described.

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Cites work

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• Optimal control criteria in truncated sequential analysis problems
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