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

DOI10.1007/BF00938477zbMATH Open0571.93072OpenAlexW2016167804MaRDI QIDQ1062029FDOQ1062029

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

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

Cited In (6)

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

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