Optimal control without solving the Bellman equation

DOI10.1016/0165-1889(93)90049-XMaRDI QIDQ2366876zbMATH OpenFDO

Authors Gregory C. Chow

Publication date 23 August 1993

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1889(93)90049-X

zbMATH Keywords

Bellman partial differential equationvector Lagrange multiplier

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

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Cites work

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• On the Differentiability of the Value Function in Dynamic Models of Economics

Cited in

(15)

• Strategic financial risk management and operations research
• Multiperiod competition with switching costs
• The Lagrange method of optimization with applications to portfolio and investment decisions
• Chow's method of optimal control
• Chow's method of optimal control: A numerical solution
• Financial planning via multi-stage stochastic optimization.
• Generalized maximum entropy estimation of dynamic programming models with sample selection bias
• On the Bellman's principle of optimality
• Optimal bunching without optimal control
• Asymptotic method of solution of statistical problems of optimal control by quasiharmonic systems
• An efficient algorithm for stochastic optimal control problems by means of a least-squares Monte-Carlo method
• Model of the producer's behavior in the presence of random moments of obtaining a loan and investment
• scientific article; zbMATH DE number 5049458 (Why is no real title available?)
• On the adaptation of the Lagrange formalism to continuous time stochastic optimal control: a Lagrange-Chow redux
• Discrete dichotomy and Hyers-Ulam stability of quaternion difference equations

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