Approximating infinite horizon stochastic optimal control in discrete time with constraints
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Publication:2507412
DOI10.1007/s10479-006-6167-xzbMath1122.93084MaRDI QIDQ2507412
Publication date: 11 October 2006
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-006-6167-x
optimal control; infinite horizon; stochastic programming; dynamic programming; epi-convergence; variational analysis
49J53: Set-valued and variational analysis
93E20: Optimal stochastic control
46N10: Applications of functional analysis in optimization, convex analysis, mathematical programming, economics
49N15: Duality theory (optimization)
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