Policy iteration algorithm for singular controlled diffusion processes

DOI10.1137/11085267XMaRDI QIDQ2873856zbMATH OpenOpenAlexWikidataFDO

Authors Yuan-Hua Ni, Hai-Tao Fang

Publication date 27 January 2014

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/11085267x

zbMATH Keywords

Markov decision processperturbation analysispolicy iteration algorithmsingular diffusion processesstochastic optimal control

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Perturbations in control/observation systems (93C73) Optimal stochastic control (93E20) Stochastic learning and adaptive control (93E35)

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Cited in

(6)

• Optimization in curbing risk contagion among financial institutes
• On the policy iteration algorithm for nondegenerate controlled diffusions under the ergodic criterion
• Exponential convergence and stability of Howard's policy improvement algorithm for controlled diffusions
• An adaptive dynamic programming-based algorithm for infinite-horizon linear quadratic stochastic optimal control problems
• Data-driven control for stochastic linear-quadratic optimal problem with completely unknown dynamics
• System transformation and model-free value iteration algorithms for continuous-time linear quadratic stochastic optimal control problems

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