Singularly perturbed Markov decision processes: a multiresolution algorithm

DOI10.1137/130944254MaRDI QIDQ5244642zbMATH OpenOpenAlexFDO

Authors Chin Pang Ho, Panos Parpas

Publication date 27 March 2015

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10044/1/21116

zbMATH Keywords

Markov decision processesmultigrid methodsmultiresolution algorithmoptimal solutionsingular perturbations

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Markov and semi-Markov decision processes (90C40)

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(8)

• Optimal aggregation of components for the solution of Markov regenerative processes
• Singularly perturbed linear programs and Markov decision processes
• Optimal switching decisions under stochastic volatility with fast mean reversion
• The reduction of perturbed Markov generators
• A multigrid approach to SDP relaxations of sparse polynomial optimization problems
• Newton-type multilevel optimization method
• On using spectral graph theory to infer the structure of multiscale Markov processes
• Discrete-time singularly perturbed Markov decision processes with a general state space

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