A policy iteration algorithm for fixed point problems with nonexpansive operators

DOI10.1007/S00186-006-0103-3zbMATH Open1171.47051OpenAlexW2048138644WikidataQ115149139 ScholiaQ115149139MaRDI QIDQ1006540FDOQ1006540

Agnès Sulem, Marouen Messaoud, Jean-Philippe Chancelier

Publication date: 25 March 2009

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-006-0103-3

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zbMATH Keywords

nonexpansive mappingfixed point problemsquasi-variational inequalitiespolicy iterationimpulse controlHoward algorithmoptimal control of Markov chains

Mathematics Subject Classification ID

Contraction-type mappings, nonexpansive mappings, (A)-proper mappings, etc. (47H09) Fixed-point theorems (47H10) Iterative procedures involving nonlinear operators (47J25) Variational inequalities (49J40) Numerical solutions to equations with nonlinear operators (65J15)

Cites Work

• Title not available (Why is that?)
• Applied stochastic control of jump diffusions.
• Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
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Cited In (11)

• Error Estimates of Penalty Schemes for Quasi-Variational Inequalities Arising from Impulse Control Problems
• The value iteration algorithm is not strongly polynomial for discounted dynamic programming
• Weakly chained matrices, policy iteration, and impulse control
• A fixed-point policy-iteration-type algorithm for symmetric nonzero-sum stochastic impulse control games
• A policy iteration algorithm for nonzero-sum stochastic impulse games
• A comparison of iterated optimal stopping and local policy iteration for American options under regime switching
• An implicit method for the finite time horizon Hamilton-Jacobi-Bellman quasi-variational inequalities
• Modified policy iteration algorithms are not strongly polynomial for discounted dynamic programming
• Optimal investment under transaction costs for an insurer
• Optimal dividend and capital injection strategy with a penalty payment at ruin: restricted dividend payments
• Optimal Dividend Strategies for a Compound Poisson Process Under Transaction Costs and Power Utility

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