Proximal point algorithm for an approximated stochastic optimal control problem (Q2706994)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Proximal point algorithm for an approximated stochastic optimal control problem |
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Proximal point algorithm for an approximated stochastic optimal control problem |
scientific article |
Statements
21 October 2001
0 references
stochastic optimal control
0 references
Markov chain
0 references
discrete Bellman equation
0 references
primal dual proximal point algorithm
0 references
Proximal point algorithm for an approximated stochastic optimal control problem (English)
0 references
A new method is introduced for solving stochastic optimal control problems under control restrictions. A special Markov chain approximation is used for discretization. For solving the discrete Bellman equation a primal dual proximal point algorithm is derived.
0 references
