Computational methods of optimal stochastic control. Optimality principle and successive-approximation optimization scheme

Computational methods of optimal stochastic control. Optimality principle and successive-approximation optimization scheme

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Article ID: iaor19931451
Country: United Kingdom
Volume: 31
Start Page Number: 16
End Page Number: 28
Publication Date: Dec 1991
Journal: USSR Computational Mathematics and Mathematical Physics
Authors:
Keywords: computational analysis
Abstract:

The computation of an optimal strategy in the sense of the expected utility criterion in a discrete-time optimal stochastic control model is considered. An optimality principle is formulated, which defines the necessary and sufficient conditions of optimality of a stationary strategy. A general successive-approximation optimization scheme is developed. This scheme produces a whole family of new optimization methods.

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