Optimal stochastic switching under convexity assumptions

DOI10.1137/13091333XzbMATH Open1292.93149OpenAlexW2085218742MaRDI QIDQ5494873FDOQ5494873

Authors: Juri Hinz 

Publication date: 30 July 2014

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/13091333x

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zbMATH Keywords

approximate dynamic programmingMarkov decisionleast squares Monte Carlo family

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Least squares and related methods for stochastic control systems (93E24)

Cited In (9)

• Regression methods for stochastic control problems and their convergence analysis
• An algorithmic approach to optimal asset liquidation problems
• Solutions and diagnostics of switching problems with linear state dynamics
• Optimal decision policy for real options under general Markovian dynamics
• A probabilistic numerical method for optimal multiple switching problems in high dimension
• Using Convex Switching Techniques for Partially Observable Decision Processes
• Efficient algorithms of pathwise dynamic programming for decision optimization in mining operations
• Algorithms for optimal control of stochastic switching systems
• Stochastic switching for partially observable dynamics and optimal asset allocation

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