Numerical aspects of monotone approximations in convex stochastic control problems (Q1896450)
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scientific article; zbMATH DE number 790994
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical aspects of monotone approximations in convex stochastic control problems |
scientific article; zbMATH DE number 790994 |
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Numerical aspects of monotone approximations in convex stochastic control problems (English)
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13 March 1996
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In an earlier article by the first and third authors [J. Math. Syst. Estim. Control 4, 99-140 (1994; Zbl 0812.93078)] an approximation technique is described for convex, discrete time stochastic control problems. Here, the accuracy of these techniques is tested on the linear quadratic control problem and on an inventory control problem.
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approximation
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convex
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discrete time
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stochastic control
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linear quadratic
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