Dynamic programming and stochastic control

Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Optimal stochastic control (93E20) Markov and semi-Markov decision processes (90C40) Sufficient statistics and fields (62B05) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to systems and control theory (93-01) Statistical decision theory (62Cxx)

Related Items

Optimal consumption dynamics with non-concave habit-forming utility, Infinitesimal perturbation analysis for second derivative estimation and design of manufacturing flow controllers, A dynamic allocation rule for the funding of projects and its long-run properties, Expectation dependence of random variables, with an application in portfolio theory, Dynamic structural systems under indirect observation: Identifiability and estimation aspects from a system theoretic perspective, Sequential selling mechanisms, Generalized predictive control. I: The basic algorithm, Optimal infinite-horizon feedback laws for a general class of constrained discrete-time systems: Stability and moving-horizon approximations, A two-stage dual suboptimal controller for stochastic systems using approximate moments, An explicit linear solution for the quadratic dynamic programming problem, A convex analytic approach to Markov decision processes, On worst case design strategies, Existence of closed-loop policies for constrained discrete-time linear systems with bounded disturbances, Reward revision and the average reward Markov decision process, Value function approximation in the presence of uncertainty and inequality constraints, On the complexity of partially observed Markov decision processes, A two-state partially observable Markov decision process with three actions, Connections between stochastic control and dynamic games, On the multistage Bayes classifier, A forecast horizon and a stopping rule for general Markov decision processes, New dynamic programming models of fisheries management, On dynamic programming for sequential decision problems under a general form of uncertainty, Fuzzy dynamic programming: Main developments and applications, Control of a production system with variable yield and random demand, Control policy for a manufacturing system with random yield and rework, An efficient heuristic for a partially observable Markov decision process of machine replacement, The decentralized Wald problem, Information, persistence, and real business cycles, Control limits for two-state partially observable Markov decision processes, Suboptimal stochastic linear feedback control of linear systems with state- and control-dependent noise: The incomplete information case, New structural properties of (\(s,S\)) policies for inventory models with lost sales, Stationary optimal control of a stochastic system with stable environmental interferences, Monotone control laws for noisy, countable-state Markov chains, Simple coalitional strategy profiles in repeated games, Comparison of adaptive controllers, The dynamic value of conjunctive storage of water, Nonparametric adaptive control of discounted stochastic systems with compact state space, Optimal claim behaviour for third-party liability insurances or To claim or not to claim: that is the question, Indefinite LQ optimal control with process state inequality constraints for discrete-time uncertain systems, Anwendungen des Maximumprinzips im Operations Research. I, Stockpiling under price uncertainty and storage capacity constraints, Updating network flows given multiple, heterogeneous arc attribute changes, Optimal dynamic load distribution in a class of flow-type flexible manufacturing systems, Stochastic finite-state systems in control theory, Numerical solutions of the algebraic matrix Riccati equation, Discrete-time stochastic adaptive control with small observation noise, Retirement saving with contribution payments and labor income as a benchmark for investments, Multi-period production control in a centralized fully flexible manufacturing system, Optimal taxation in an RBC model: A linear-quadratic approach, Properties of repetitive control of partially observed processes, Some structured dynamic programs arising in economics, Control of distributed systems: tutorial and overview, On repetitive control and the behaviour of a middle-aged consumer, Finite-horizon optimal control with pointwise cost functional, A ``nearly ideal solution to linear time-varying rational expectations models, A risk reserve model for hedging in incomplete markets, On the choice of weighting matrices in the minimum variance controller, Concepts and methods for discrete and continuous time control under uncertainty, Choosing regulatory options when environmental costs are uncertain, Periodic linear-quadratic methods for modeling seasonality, Suboptimal inspection policies for imperfectly observed realistic systems, A class of risk-sensitive noncooperative games, Existence of optimal stationary policies in deterministic optimal control, Application of Jensen's inequality to adaptive suboptimal design, The solution of the infinite horizon tracking problem for discrete time system possessing an exogenous component, A simple suboptimal algorithm for system maintance under partial observability, State-space approximation of multi-input multi-output systems with stochastic exogenous inputs, A dynamic view of the portfolio efficiency frontier, Some thoughts on rational expectations models, and alternate formulations, Cooperative equilibria in discounted stochastic sequential games, Globally optimal paths in the nonclassical growth model, Controlled semi-Markov models under long-run average rewards, A lattice-theoretic approach to a class of dynamic games, Feasibility and stability of constrained finite receding horizon control, Integrated capacity and inventory management with capacity acquisition lead times, Theoretical tools for understanding and aiding dynamic decision making, Theoretical developments in discrete-time control, Optimal adaptive control of priority assignment in queueing systems, Adaptive control of service in queueing systems, Theory and applications of adaptive control - a survey, Explicit results for a class of asset-selling problems, Estimating price expectations in the OTC medicine market: An application of dynamic stochastic discrete choice models to scanner panel data, Adaptive control of discounted Markov decision chains, Stochastic control theory and operational research, Suboptimal policy determination for large-scale Markov decision processes. I: Description and bounds, An on-line procedure in discounted infinite-horizon stochastic optimal control, The value-function of an infinite-horizon linear-quadratic problem, Optimal pricing of a product with periodic enhancements, A computational model of banks' optimal reserve management policy., Nonstationary value-iteration and adaptive control of discounted semi- Markov processes, Optimal management of replenishable resources in a predator-prey system with randomly fluctuating population, Optimal policies for controlled Markov chains with a constraint, Games against nature, The principle and models of dynamic programming, Optimal dynamic routing in Markov queueing networks, Estimation and control of large sparse systems, Stochastic inventory problem with piecewise quadratic holding cost function containing a cost-free interval, Infinite-horizon minimax control with pointwise cost functional, Value of information for a leader-follower partially observed Markov game, Computational issues in a stochastic finite horizon one product recovery inventory model, Unnamed Item, Application of input-signal design in system identification for adaptive control, Constant feedback stabilization of discrete-time systems with random-coefficients†, An empirical study of policy convergence in Markov decision process value iteration, Numerical solution of Riccati equation using operational matrix method with Chebyshev polynomials, Finite Horizon Decision Timing with Partially Observable Poisson Processes, Integration, participation and optimal control in water resources planning and management, Particle methods for stochastic optimal control problems, Density estimation and adaptive control of Markov processes: Average and discounted criteria, Risk-sensitive optimal investment policy, Reinforcement learning based algorithms for average cost Markov decision processes, A decomposition approach to suboptimal control of discrete‐time systems, Invariant imbedding and parallelism in dynamic programming for feedback control, Optimal, stabilizing control of a stochastic system driven by randomly correlated noise, Rollout approach to sensor scheduling for remote state estimation under integrity attack, A new adaptive LQG control algorithm, Optimal control for uncertain random singular systems with multiple time-delays, Markov: A methodology for the solution of infinite time horizon markov decision processes, Solution of the dynamic programming equation for a trading problem^∗, Stochastic programs without duality gaps, A general decomposition approach for multi-criteria decision trees, Production to order and off-line inspection when the production process is partially observable, Bisimulations of Probabilistic Boolean Networks, Portfolio optimization in a defaultable market under incomplete information, Optimal control of probabilistic Boolean control networks: A scalable infinite horizon approach, Sur l’allocation dynamique de portefeuille robuste contre l’incertitude des rendements moyens, Estimating Field-Level Rotations as Dynamic Cycles, Water reservoir control under economic, social and environmental constraints, Optimizing Long‐term Hydro‐power Production Using Markov Decision Processes, Discrete-time control with non-constant discount factor, Unnamed Item, Optimal empty vehicle redistribution for hub‐and‐spoke transportation systems, Nonlinear Parabolic Equations Arising in Mathematical Finance, State observation accuracy and finite-memory policy performance, Decreasing the sensitivity of open-loop optimal solutions in decision making under uncertainty, Application of maximal monotone operator method for solving Hamilton-Jacobi-Bellman equation arising from optimal portfolio selection problem, SWITCHING AND SEQUENCING AVAILABLE THERAPIES SO AS TO MAXIMIZE A PATIENT'S EXPECTED TOTAL LIFETIME, Suboptimal policy determination for large-scale Markov decision processes. II: Implementation and numerical evaluation, Optimal strategies for a fishery model applied to utility functions, Collaboration in tool development and capacity investments in high technology manufacturing networks, Suboptimal policy determination for large-scale Markov decision processes. II: Implementation and numerical evaluation, Optimal admission pricing and service rate control of anM[x/M/s queue with reneging], On Markov policies for minimax decision processes, Integrated inventory management and supplier base reduction in a supply chain with multiple uncertainties, Dynamic Programming Approach to Pension Funding: the Case of Incomplete State Information, Robust portfolio optimization via solution to the Hamilton–Jacobi–Bellman equation, STRUCTURAL, DYNAMIC MODELLING IN UNOBSERVABLE SPACES OF COVARIANCE-STATIONARY STOCHASTIC PROCESSES, Optimal admission pricing policies for M/Ek/1 queues, Probabilistic models for optimizing patients survival rates, In between the \(LQG/H_2\)- and \(H_{\infty } \)-control theories, Minimum Transmission Energy Trajectories for a Linear Pursuit Problem, On the best choice problem with random population size, The effects of market power on the stocks and prices of world coffee, Fuzzy interval optimal control problem, Receding horizon control for water resources management, A note on optimal switching between two activities, Effective state estimation of stochastic systems, Optimizing Execution Cost Using Stochastic Control, Über eine optimale Feedback-Kontrolle unter der Verwendung von ARMA-Modellen, Discrete-time interval optimal control problem, Infinite Horizon Average Cost Dynamic Programming Subject to Total Variation Distance Ambiguity, Dynamic intertemporal utility optimization by means of Riccati transformation of Hamilton-Jacobi-Bellman equation, Monotone optimal preventive maintenance policies for stochastically failing equipment, On discrete-time Riccati-like matrix difference equations with random coefficients, Distributed asynchronous computation of fixed points, BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations., Unnamed Item, Prescribing transient and asymptotic behaviour to deterministic systems with stochastic initial conditions, A Markov decision process with convex reward and its associated stopping game, A note onK-convex functions, Approximations and bounds for a generalized optimal stopping problem, Unnamed Item, A Moreau-Yosida regularization for Markov decision processes, Robustness to incorrect models and data-driven learning in average-cost optimal stochastic control, Optimizing the use of contingent labor when demand is uncertain, Implicit dual control for general stochastic systems, Optimal Sequential Multiclass Diagnosis