On continuous-time discounted stochastic dynamic programming (Q805498)
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scientific article; zbMATH DE number 4204119
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On continuous-time discounted stochastic dynamic programming |
scientific article; zbMATH DE number 4204119 |
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On continuous-time discounted stochastic dynamic programming (English)
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1991
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The paper deals with a continuous-time discounted dynamic programming problem in a Markov decision model. In detail, the aim of the paper is to study the relation between the original dynamic constrained problem and a Lagrangian-type programming problem. For this the Lagrangian function and a weak optimal solution are defined. Furthermore, assumptions are introduced under which both problems are equivalent. The Lagrangian duality theorem is presented at the end of the paper.
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continuous-time discounted dynamic programming
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Markov decision
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Lagrangian duality
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