scientific article; zbMATH DE number 5674950

MaRDI QIDQ3408239zbMATH OpenFDO

Authors Elina M. Mancinelli, L. S. Aragone

Publication date 25 February 2010

zbMATH Keywords

Hamilton-Jacobi-Bellman equationiterative constructive methodnumerical solutionsingular controlsviscosity solution

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Discrete approximations in optimal control (49M25) Optimal stochastic control (93E20)

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Cited in

(6)

• Policy iteration algorithm for singular controlled diffusion processes
• An iterative procedure for constructing subsolutions of discrete-time optimal control problems
• Numerical procedure to approximate a singular optimal control problem
• Singular Stochastic Control Problems Solved by a Sparse Simplex Method
• On the application of iterative dynamic programming to singular optimal control problems
• A Numerical Method for Solving Singular Stochastic Control Problems

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