Linear Programming and the Control of Diffusion Processes

DOI10.1287/ijoc.2015.0651zbMath1339.49026OpenAlexW2152868343MaRDI QIDQ2802245

Martin B. Haugh, Andrew Ahn

Publication date: 25 April 2016

Published in: INFORMS Journal on Computing (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/393049bf6eb90afd0252b54df0c388229fb59a3b

zbMATH Keywords

linear programmingdualitydiffusion processesportfolio optimization

Mathematics Subject Classification ID

Related Items (2)

Logarithmic-Barrier Decomposition Interior-Point Methods for Stochastic Linear Optimization in a Hilbert Space ⋮ Relationship between least squares Monte Carlo and approximate linear programming

Cites Work

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• Generalized polynomial approximations in Markovian decision processes
• The dual approach to portfolio evaluation: a comparison of the static, myopic and generalized buy-and-hold strategies
• Control of Diffusions via Linear Programming
• Evaluating Portfolio Policies: A Duality Approach
• The Linear Programming Approach to Approximate Dynamic Programming
• On Constraint Sampling in the Linear Programming Approach to Approximate Dynamic Programming

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