Some dynamic decision process
A stochastic dynamic decision process is formulated as a discrete dynamic programming problem with a one-stage non-negative unbounded loss function. Using Fenchel duality, a dual dynamic programming problem is introduced with a reward function, which is conjugate to the loss function of the original dynamic programming problem. By making use of the convexity and \(\omega^*\)-lower-semicontinuity of the reward function, weak duality results are proved. If the loss function is convex and lower semicontinuous, strong duality results are proved.NEWLINENEWLINEFor the entire collection see [Zbl 0958.00047].
- scientific article; zbMATH DE number 4010246
- scientific article; zbMATH DE number 1062628
- On continuous-time discounted stochastic dynamic programming
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- scientific article; zbMATH DE number 1062628 (Why is no real title available?)
- On some dual model of finite Markov decision processes with convex sets of admissible actions
- scientific article; zbMATH DE number 7733443 (Why is no real title available?)
- A dynamic multi-item two-activity problem
- On continuous-time discounted stochastic dynamic programming
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