Strategic measures in optimal control problems for stochastic sequences

DOI10.1080/07362990008809696MaRDI QIDQ4518327zbMATH OpenOpenAlexFDO

Authors Xuerong Mao, A. B. Piunovskiy

Publication date 20 November 2000

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362990008809696

zbMATH Keywords

convex programmingdiscrete-time Markov processesdiscrete-time stochastic processesfinite mixtures of nonrandomized strategiesfunctional constraintsoccupation measuresoptimal control

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

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Cites work

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• On dynamic programming: Compactness of the space of policies
• Stochastic optimal control. The discrete time case

Cited in

(17)

• Construction of mixed strategies on the basis of stochastic programs
• Optimal control by random sequences with constraints
• A model and methods of uniformly optimal stochastic control
• Constrained discounted Markov decision processes with Borel state spaces
• Convergence of Markov decision processes with constraints and state-action dependent discount factors
• First passage Markov decision processes with constraints and varying discount factors
• Markov control processes with randomized discounted cost
• Sequential stochastic control (single or multi-agent) problems nearly admit change of measures with independent measurement
• Convex analytic approach to constrained discounted Markov decision processes with non-constant discount factors
• scientific article; zbMATH DE number 4004051 (Why is no real title available?)
• scientific article; zbMATH DE number 409637 (Why is no real title available?)
• Controlled random sequences: methods of convex analysis and problems with functional constraints
• A matrix representation of fields and filtrations and its application to stochastic control problems
• Solution of the unconditional extremum problem for a linear-fractional integral functional on a set of probability measures
• On Strategic Control
• On strategic measures and optimality properties in discrete-time stochastic control with universally measurable policies
• On the existence of optimal strategies in the control problem for a stochastic discrete time system with respect to the probability criterion

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