Solution of a class of stochastic linear-convex control problems using deterministic equivalents

DOI10.1007/BF00939627zbMath0652.93070MaRDI QIDQ1107496

C. Bes, Suresh P. Sethi

Publication date: 1989

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

zbMATH Keywords

discrete maximum principlecertainty equivalenceoptimal feedback policyinventory control problemsstochastic linear- convex optimal control problems

Mathematics Subject Classification ID

Linear systems in control theory (93C05) Inventory, storage, reservoirs (90B05) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

Related Items (3)

Sequential convex programming for non-linear stochastic optimal control ⋮ Deterministic equivalent for a continuous linear-convex stochastic control problem ⋮ Bellman equations for scalar linear convex stochastic control problems

Cites Work

• Unnamed Item
• Unnamed Item
• Dynamic Programming Under Uncertainty with a Quadratic Criterion Function
• On the open-loop solution of linear stochastic optimal control problems
• A Stopping Rule for Forecasting Horizons in Nonhomogeneous Markov Decision Processes
• Deterministic and stochastic optimization of a dynamic advertising model
• Optimal Strategy Decisions for Dynamic Linear Decision Rules in Feedback Form
• On the Separation Theorem of Stochastic Control
• Convex Analysis

This page was built for publication: Solution of a class of stochastic linear-convex control problems using deterministic equivalents