Solution of a class of stochastic linear-convex control problems using deterministic equivalents

DOI10.1007/BF00939627MaRDI QIDQ1107496zbMATH OpenFDO

Authors C. Bes, Suresh P. Sethi

Publication date 1989

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

zbMATH Keywords

discrete maximum principlecertainty equivalenceoptimal feedback policyinventory control problemsstochastic linear- convex optimal control problems

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Inventory, storage, reservoirs (90B05) Linear systems in control theory (93C05) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 3900467 (Why is no real title available?)
• scientific article; zbMATH DE number 3780047 (Why is no real title available?)
• A Stopping Rule for Forecasting Horizons in Nonhomogeneous Markov Decision Processes
• Convex Analysis
• Deterministic and stochastic optimization of a dynamic advertising model
• Dynamic Programming Under Uncertainty with a Quadratic Criterion Function
• On the Separation Theorem of Stochastic Control
• On the open-loop solution of linear stochastic optimal control problems
• Optimal Strategy Decisions for Dynamic Linear Decision Rules in Feedback Form

Cited in

(9)

• Deterministic equivalent for a continuous linear-convex stochastic control problem
• Deterministic Equivalence in Stochastic Infinite Horizon Problems
• Convex analytic method revisited: further optimality results and performance of deterministic policies in average cost stochastic control
• Solution to a class of stochastic LQ problems with bounded control
• Sequential convex programming for non-linear stochastic optimal control
• On the open-loop solution of linear stochastic optimal control problems
• scientific article; zbMATH DE number 4091392 (Why is no real title available?)
• Bellman equations for scalar linear convex stochastic control problems
• Successive Linearization NMPC for a Class of Stochastic Nonlinear Systems

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