Numerical aspects of monotone approximations in convex stochastic control problems
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Publication:1896450
DOI10.1007/BF02031704zbMath0832.93062OpenAlexW1992720957MaRDI QIDQ1896450
Wolfgang J. Runggaldier, C. Piovesan, Onésimo Hernández-Lerma
Publication date: 13 March 1996
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf02031704
Related Items (4)
Approximate dynamic programming for stochastic linear control problems on compact state spaces ⋮ ERROR ANALYSIS OF AN APPROXIMATE OPTIMAL POLICY FOR AN INVENTORY SYSTEM WITH STOCHASTIC AND CONTINUOUS DEMANDS ⋮ Concepts and methods for discrete and continuous time control under uncertainty ⋮ Unnamed Item
Cites Work
- Designing approximation schemes for stochastic optimization problems, in particular for stochastic programs with recourse
- Bounds on the Expectation of a Convex Function of a Random Variable: With Applications to Stochastic Programming
- Solving stochastic programming problems with recourse including error bounds
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