Optimal switching among a finite number of Markov processes

DOI10.1007/BF00934933zbMath0445.90093MaRDI QIDQ1145637

Bharat T. Doshi

Publication date: 1981

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

zbMATH Keywords

existence; Markov decision processes; quasi-variational inequalities; unique solution; optimal switching; stationary optimal policy; controlled one-dimensional diffusion; optimal discounted cost function; policy iteration method

Mathematics Subject Classification ID

65K05: Numerical mathematical programming methods

90C40: Markov and semi-Markov decision processes

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Cites Work

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