Stochastic optimal control and linear programming approach
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Publication:535338
DOI10.1007/S00245-010-9120-YzbMATH Open1226.93137OpenAlexW2039953262MaRDI QIDQ535338FDOQ535338
Authors: Dan Goreac, Marc Quincampoix, Rainer Buckdahn 
Publication date: 11 May 2011
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-010-9120-y
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linear programmingviscosity solutionsoccupational measureslong-time averagingstochastic control under constraints
Linear programming (90C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimal stochastic control (93E20)
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Cited In (40)
- On sets of occupational measures generated by a deterministic control system on an infinite time horizon
- Optimality issues for a class of controlled singularly perturbed stochastic systems
- An LP approach to dynamic programming principles for stochastic control problems with state constraints
- Mayer and optimal stopping stochastic control problems with discontinuous cost
- Averaging and linear programming in some singularly perturbed problems of optimal control
- Linear programming approach to optimal impulse control problems with functional constraints
- Existence of asymptotic values for nonexpansive stochastic control systems
- On the LP formulation in measure spaces of optimal control problems for jump-diffusions
- Stable Optimal Control and Semicontractive Dynamic Programming
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- A dual representation result for value functions in stochastic control of infinite dimensional groups
- Linearisation techniques and the dual algorithm for a class of mixed singular/continuous control problems in reinsurance. II: Numerical aspects
- Representation formulas for limit values of long run stochastic optimal controls
- Optimal Control of Two Linear Programming Problems
- Mean-field games of optimal stopping: a relaxed solution approach
- Linear programming and the control of diffusion processes
- Linear programming estimates for Cesàro and Abel limits of optimal values in optimal control problems
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- Viability, invariance and reachability for controlled piecewise deterministic Markov processes associated to gene networks
- Linear PDEs and eigenvalue problems corresponding to ergodic stochastic optimization problems on compact manifolds
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- Linear programming formulation of long-run average optimal control problem
- Impulsive control for continuous-time Markov decision processes: a linear programming approach
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- Linearisation techniques and the dual algorithm for a class of mixed singular/continuous control problems in reinsurance. I: Theoretical aspects
- Linearization techniques for controlled piecewise deterministic Markov processes; application to Zubov's method
- Energy transition under scenario uncertainty: a mean-field game of stopping with common noise
- Computable Primal and Dual Bounds for Stochastic Control
- Some applications of linear programming formulations in stochastic control
- Linear programming based optimality conditions and approximate solution of a deterministic infinite horizon discounted optimal control problem in discrete time
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- Infection time in multistable gene networks. A backward stochastic variational inequality with nonconvex switch-dependent reflection approach
- Linear programming approach to optimal control problems with unbounded state constraint
- Discussion of dynamic programming and linear programming approaches to stochastic control and optimal stopping in continuous time
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- Bellman equations for scalar linear convex stochastic control problems
- LP Formulations of Discrete Time Long-Run Average Optimal Control Problems: The NonErgodic Case
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