Computational methods of optimal stochastic control. Optimality principle and successive-approximation optimization scheme

zbMATH Open0781.93095MaRDI QIDQ685012FDOQ685012

Authors: V. V. Baranov 

Publication date: 19 September 1993

Published in: Computational Mathematics and Mathematical Physics (Search for Journal in Brave)

zbMATH Keywords

transition probabilitiesdynamic stochastic system

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Cited In (4)

• An efficient algorithm for stochastic optimal control problems by means of a least-squares Monte-Carlo method
• Computable Primal and Dual Bounds for Stochastic Control
• Extension technology and extrema selections in a stochastic multistart algorithm for optimal control problems
• Dynamic diagnostic and decision procedures under uncertainty

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