Linear-quadratic control and information relaxations

DOI10.1016/j.orl.2012.08.010zbMath1258.49055OpenAlexW2048166500MaRDI QIDQ1939706

Andrew E. B. Lim, Martin B. Haugh

Publication date: 5 March 2013

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2012.08.010

zbMATH Keywords

dualityinformation relaxationslinear--quadratic control

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Duality theory (optimization) (49N15)

Related Items (5)

An algorithmic approach to optimal asset liquidation problems ⋮ Stochastic switching for partially observable dynamics and optimal asset allocation ⋮ Approximations to Stochastic Dynamic Programs via Information Relaxation Duality ⋮ A unified approach to multiple stopping and duality ⋮ Pathwise Dynamic Programming

Cites Work

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• Information Relaxations and Duality in Stochastic Dynamic Programs
• Anticipative LQG Control
• Pathwise Stochastic Optimal Control
• Pricing American Options: A Duality Approach
• Monte Carlo valuation of American options
• A new proof of the discrete-time LQG optimal control theorems

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