Optimal stochastic switching under convexity assumptions

DOI10.1137/13091333XMaRDI QIDQ5494873zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

approximate dynamic programmingleast squares Monte Carlo familyMarkov decision

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)

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

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