An on-line procedure in discounted infinite-horizon stochastic optimal control

DOI10.1007/BF00938477MaRDI QIDQ1062029zbMATH OpenOpenAlexFDO

Authors C. Bes, Jean B. Lasserre

Publication date 1986

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf00938477

zbMATH Keywords

discounted costdiscrete-time, infinite-horizon optimal controlforecast/planning horizonson-line procedure

Mathematics Subject Classification ID

Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10) Optimal stochastic control (93E20)

Cites work

• An Extension to Modigliani and Hohn's Planning Horizons Results
• Detecting planning horizons in deterministic infinite horizon optimal control
• Dynamic programming and stochastic control
• Production Planning Over Time and the Nature of the Expectation and Planning Horizon
• Turnpike Theory
• Universal Planning Horizons for Generalized Convex Production Scheduling

Cited in

(6)

• Perfect information two-person zero-sum Markov games with imprecise transition probabilities
• Properties of repetitive control of partially observed processes
• Portfolio optimization with uncertain exit time in infinite-time horizon
• Denumerable state nonhomogeneous Markov decision processes
• A forecast horizon and a stopping rule for general Markov decision processes
• Approximate receding horizon approach for Markov decision processes: average reward case

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