Singular Stochastic Control Problems Solved by a Sparse Simplex Method

DOI10.1093/IMAMCI/6.1.27MaRDI QIDQ3827160zbMATH OpenOpenAlexFDO

Authors M. Sun

Publication date 1989

Published in IMA Journal of Mathematical Control and Information (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/imamci/6.1.27

zbMATH Keywords

singular stochastic controlsparse linear-programming algorithm

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Linear programming (90C05) Large-scale problems in mathematical programming (90C06) Optimal stochastic control (93E20)

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Cited in

(11)

• Generalizations of \(\mathbf P_ 0\)- and \(\mathbf P\)-properties; extended vertical and horizontal linear complementarity problems
• A fast algorithm for the two dimensional HJB equation of stochastic control
• A numerical method for solving stochastic optimal control problems with linear control
• Monotonicity of Mangasarian's iterative algorithm for generalized linear complementarity problems
• Two adaptively stepped monotone algorithms for solving discounted dynamic programming equations
• scientific article; zbMATH DE number 140509 (Why is no real title available?)
• scientific article; zbMATH DE number 4141435 (Why is no real title available?)
• Revised simplex algorithm for finite Markov decision processes
• Computational aspects in applied stochastic control
• The projected-type method for the extended vertical linear complementarity problem revisited
• A Numerical Method for Solving Singular Stochastic Control Problems

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