Stochastic control via direct comparison

DOI10.1007/s10626-010-0093-4zbMath1210.93081MaRDI QIDQ633815

De-Xin Wang, Yi-Fan Xu, Tao Lü, Cao, Xiren

Publication date: 30 March 2011

Published in: Discrete Event Dynamic Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10626-010-0093-4

zbMATH Keywords

dynamic programming; Markov decision processes; Poisson equation; perturbation analysis; HJB equation; performance potentials; sensitivity-based optimization

Mathematics Subject Classification ID

60J25: Continuous-time Markov processes on general state spaces

49L20: Dynamic programming in optimal control and differential games

90C15: Stochastic programming

93C70: Time-scale analysis and singular perturbations in control/observation systems

90C39: Dynamic programming

93E20: Optimal stochastic control

Related Items

Temporal difference-based policy iteration for optimal control of stochastic systems, Completion-of-squares: revisited and extended, The risk probability criterion for discounted continuous-time Markov decision processes

Uses Software

• UMDES

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