Pathwise Stochastic Optimal Control
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Publication:3506540
DOI10.1137/050642885zbMATH Open1155.90019OpenAlexW2156040550MaRDI QIDQ3506540FDOQ3506540
Authors: L. C. G. Rogers 
Publication date: 16 June 2008
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/c7b542466c7f7c7ff7ab58a1b4f5a42984ee15be
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Optimality conditions and duality in mathematical programming (90C46) Dynamic programming (90C39) Markov and semi-Markov decision processes (90C40) Optimal stochastic control (93E20)
Cited In (42)
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- A novel decomposition-based method for solving general-product structure assemble-to-order systems
- A new class of dual upper bounds for early exercisable derivatives encompassing both the additive and multiplicative bounds
- Optimisation-based representations for branching processes
- Primal-Dual Regression Approach for Markov Decision Processes with General State and Action Spaces
- Necessity of future information in admission control
- Efficient algorithms of pathwise dynamic programming for decision optimization in mining operations
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- Approximate linear programming for networks: average cost bounds
- Pathwise stochastic control with applications to robust filtering
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- Dual representations for general multiple stopping problems
- Linear-quadratic control and information relaxations
- Algorithms for optimal control of stochastic switching systems
- Time discretisation and rate of convergence for the optimal control of continuous-time stochastic systems with delay
- Markov-Dubins path via optimal control theory
- What Next?
- A multilevel approach for stochastic nonlinear optimal control
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- Stochastic switching for partially observable dynamics and optimal asset allocation
- Approximating infinite horizon stochastic optimal control in discrete time with constraints
- A stochastic minimum principle and an adaptive pathwise algorithm for stochastic optimal control
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