Logarithmic transformations for discrete-time, finite-horizon stochastic control problems (Q1105560)
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scientific article; zbMATH DE number 4059264
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Logarithmic transformations for discrete-time, finite-horizon stochastic control problems |
scientific article; zbMATH DE number 4059264 |
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Logarithmic transformations for discrete-time, finite-horizon stochastic control problems (English)
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1988
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Using logarithmic transformations, we construct discrete-time stochastic control problems where the optimal value function belongs to a same parametrized class of functions that remains invariant under the dynamic programming operator. This extends a well-known property of the classical LQG problems where the optimal value function is a quadratic one.
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logarithmic transformations
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discrete-time stochastic control problems
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dynamic programming
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