A sparse Markov chain approximation of LQ-type stochastic control problems.
DOI10.3934/MCRF.2017023zbMATH Open1350.49031OpenAlexW2207863317MaRDI QIDQ326794FDOQ326794
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 programmingstochastic optimal controlMarkov chain approximationGalerkin discretization schemelogarithmic transformationMarkov state model
Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Dynamic programming (90C39) Existence of optimal solutions to problems involving randomness (49J55) Dynamic programming in optimal control and differential games (49L20) Discrete approximations in optimal control (49M25) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Markov and semi-Markov decision processes (90C40) Optimal stochastic control (93E20)
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Cited In (4)
- The Markov chain approximation approach for numerical solution of stochastic control problems: experiences from Merton's problem.
- Learning-based importance sampling via stochastic optimal control for stochastic reaction networks
- Overcoming the timescale barrier in molecular dynamics: Transfer operators, variational principles and machine learning
- Transition Path Theory for Langevin Dynamics on Manifolds: Optimal Control and Data-Driven Solver
Uses Software
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