Numerical comparison of controls and verification of optimality for stochastic control problems
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Publication:1586818
DOI10.1023/A:1004659107996zbMATH Open0965.93099OpenAlexW1507296508MaRDI QIDQ1586818FDOQ1586818
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
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- scientific article; zbMATH DE number 21025
momentslinear programmingoptimal controlstochastic controlnumerical computationnumerical comparisonverification approach
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- Time-average control of martingale problems: Existence of a stationary solution
- Linear Programming in a Markov Chain
- Approximation of Infinite-Dimensional Linear Programming Problems which Arise in Stochastic Control
- Average cost Markov decision processes: Optimality conditions
- A Linear Programming Problem Connected with Optimal Stationary Control in a Dynamic Decision Problem
Cited In (8)
- Numerical solution of a long-term average control problem for singular stochastic processes
- Dynamic programming or direct comparison?
- The problem of moments on polytopes and other bounded regions.
- Extension Of Dale's Moment Conditions With Application To The Wright–fisher Model
- Bounding stationary averages of polynomial diffusions via semidefinite programming
- Analysis of production decisions under budget limitations
- Solving the drift control problem
- Determining the Optimal Control of Singular Stochastic Processes Using Linear Programming
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