Optimal control without solving the Bellman equation

DOI10.1016/0165-1889(93)90049-XzbMath0772.93082MaRDI QIDQ2366876

Gregory C. Chow

Publication date: 23 August 1993

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

zbMATH Keywords

Bellman partial differential equationvector Lagrange multiplier

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

Related Items (9)

An efficient algorithm for stochastic optimal control problems by means of a least-squares Monte-Carlo method ⋮ Multiperiod competition with switching costs ⋮ The Lagrange method of optimization with applications to portfolio and investment decisions ⋮ Chow's method of optimal control ⋮ Chow's method of optimal control: A numerical solution ⋮ Модель поведения производителя при наличии случайных моментов получения кредита и инвестиций ⋮ Financial planning via multi-stage stochastic optimization. ⋮ Generalized maximum entropy estimation of dynamic programming models with sample selection bias ⋮ Strategic financial risk management and operations research

Cites Work

• On the Differentiability of the Value Function in Dynamic Models of Economics
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