Numerical convergence for the Bellman equation of stochastic optimal control with quadratic costs and constraints
From MaRDI portal
Publication:686133
DOI10.1007/BF01972698zbMath0781.93099MaRDI QIDQ686133
Publication date: 17 October 1993
Published in: Dynamics and Control (Search for Journal in Brave)
Bellman equation; stochastic optimal control; Poisson noise; Crank-Nicolson computer algorithm; Gaussian stochastic noise
93E20: Optimal stochastic control
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The maximum principle for viscosity solutions of fully nonlinear second order partial differential equations
- Optimal harvesting of a logistic population in an environment with stochastic jumps
- Parallel stochastic dynamic programming: Finite element methods
- Cheap control of the time-invariant regulator
- Singular optimal control problems
- The computation and theory of optimal control
- OPTIMAL HARVESTING WITH DENSITY DEPENDENT RANDOM EFFECTS
- Viscosity Solutions of Hamilton-Jacobi Equations
- Optimal Harvesting of a Randomly Fluctuating Resource. I: Application of Perturbation Methods
- Optimal Harvesting of a Randomly Fluctuating Resource. II: Numerical Methods and Results
- User’s guide to viscosity solutions of second order partial differential equations
- Singular perturbations and singular arcs--Part I
- A Survey of Some Applications of Probability and Stochastic Control Theory to Finite Difference Methods for Degenerate Elliptic and Parabolic Equations
- On the computation of singular controls
- Optimality Conditions for the Average Cost per Unit Time Problem with a Diffusion Model
- Remarks on Hamilton-Jacobi equations with measurable time-dependent Hamiltonians
- An Historical Survey of Computational Methods in Optimal Control
- Galerkin Methods for Parabolic Equations
