Relative optimization of continuous-time and continuous-state stochastic systems

DOI10.1007/978-3-030-41846-5zbMath1460.93001OpenAlexW3024888097MaRDI QIDQ2173468

Xi-Ren Cao

Publication date: 23 April 2020

Published in: Communications and Control Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-030-41846-5

zbMATH Keywords

optimal controldynamic programmingoptimal stoppingstochastic controldegenerate diffusionsingular controlbias optimalitylong-run averagerelative optimizationcontrol of diffusion processcontrol of Markov processfinite-horizon stochastic controlmulti-dimensional diffusionoptimization conditionperformance-derivative based optimizationsemi-smooth potential functionsemi-smooth value function

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02) Optimal stochastic control (93E20)

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