A policy iteration algorithm for fixed point problems with nonexpansive operators

DOI10.1007/S00186-006-0103-3MaRDI QIDQ1006540zbMATH OpenOpenAlexWikidataFDO

Authors Jean-Philippe Chancelier, Marouen Messaoud, Agnès Sulem

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

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)

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Cites work

• scientific article; zbMATH DE number 1577097 (Why is no real title available?)
• scientific article; zbMATH DE number 1897413 (Why is no real title available?)
• Applied stochastic control of jump diffusions.
• Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs

Cited in

(11)

• 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
• Optimal dividend strategies for a compound Poisson process under transaction costs and power utility
• Error estimates of penalty schemes for quasi-variational inequalities arising from impulse control problems
• 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

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