An Asymptotically Efficient Simulation-Based Algorithm for Finite Horizon Stochastic Dynamic Programming

DOI10.1109/TAC.2006.887917zbMath1366.90144OpenAlexW2142393026MaRDI QIDQ5282014

Steven I. Marcus, Hyeong Soo Chang, Jiaqiao Hu, Michael C. Fu

Publication date: 27 July 2017

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tac.2006.887917

Mathematics Subject Classification ID

Stochastic programming (90C15) Dynamic programming (90C39) Optimal stochastic control (93E20) Markov and semi-Markov decision processes (90C40)

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