Numerical comparison of controls and verification of optimality for stochastic control problems

DOI10.1023/A:1004659107996MaRDI QIDQ1586818zbMATH OpenOpenAlexFDO

Authors K. Helmes, Richard H. Stockbridge

Publication date 9 May 2001

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

Full work available at URL https://doi.org/10.1023/a:1004659107996

zbMATH Keywords

momentslinear programmingoptimal controlstochastic controlnumerical computationnumerical comparisonverification approach

Mathematics Subject Classification ID

Linear systems in control theory (93C05) Optimal stochastic control (93E20)

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Cited in

(8)

• Numerical solution of a long-term average control problem for singular stochastic processes
• Dynamic programming or direct comparison?
• Solving the drift control problem
• Bounding stationary averages of polynomial diffusions via semidefinite programming
• Analysis of production decisions under budget limitations
• Determining the Optimal Control of Singular Stochastic Processes Using Linear Programming
• Extension Of Dale's Moment Conditions With Application To The Wright–fisher Model
• The problem of moments on polytopes and other bounded regions.

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