Solutions and diagnostics of switching problems with linear state dynamics

DOI10.1017/S1446181115000279MaRDI QIDQ5369448zbMATH OpenOpenAlexFDO

Authors

Publication date 17 October 2017

Published in The ANZIAM Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s1446181115000279

zbMATH Keywords

approximate dynamic programmingdualityMarkov decisionsstochastic control

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Discrete approximations in optimal control (49M25) Numerical methods involving duality (49M29) Dynamic programming (90C39) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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Cites work

• Algorithms for optimal control of stochastic switching systems
• Approximate Dynamic Programming
• Dynamic programming and optimal control. Vol. 1.
• scientific article; zbMATH DE number 700091 (Why is no real title available?)
• Markov decision processes with applications to finance.
• Monte Carlo valuation of American options
• Optimal stochastic switching under convexity assumptions
• Optimal Stopping of Partially Observable Markov Processes: A Filtering-Based Duality Approach
• Pathwise Stochastic Optimal Control
• Pricing American Options: A Duality Approach
• Regression methods for stochastic control problems and their convergence analysis
• Valuation of energy storage: an optimal switching approach
• Valuing American options by simulation: a simple least-squares approach

Cited in

(4)

• Modelling electromechanical systems with electrical switching components using the linear complementarity problem
• Stochastic switching for partially observable dynamics and optimal asset allocation
• Algorithms for optimal control of stochastic switching systems
• Optimal stochastic switching under convexity assumptions

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