A sparse Markov chain approximation of LQ-type stochastic control problems.
DOI10.3934/mcrf.2017023 10.3934/mcrf.2016007; 10.3934/mcrf.2017023zbMath1350.49031MaRDI QIDQ326794
Ralf Banisch, Carsten Hartmann
Publication date: 12 October 2016
Published in: Mathematical Control and Related Fields (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/mcrf.2016007
dynamic programming; stochastic optimal control; Markov chain approximation; Galerkin discretization scheme; logarithmic transformation; Markov state model
49L20: Dynamic programming in optimal control and differential games
90C39: Dynamic programming
60J10: Markov chains (discrete-time Markov processes on discrete state spaces)
65N30: Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs
93E20: Optimal stochastic control
90C40: Markov and semi-Markov decision processes
49M25: Discrete approximations in optimal control
49J55: Existence of optimal solutions to problems involving randomness
Uses Software
