Policy Iteration Algorithm for Singular Controlled Diffusion Processes

DOI10.1137/11085267XzbMath1279.93109OpenAlexW2002687012WikidataQ114978711 ScholiaQ114978711MaRDI QIDQ2873856

Hai-Tao Fang, Yuan-Hua Ni

Publication date: 27 January 2014

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/11085267x

zbMATH Keywords

stochastic optimal controlMarkov decision processperturbation analysispolicy iteration algorithmsingular diffusion processes

Mathematics Subject Classification ID

Perturbations in control/observation systems (93C73) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Stochastic learning and adaptive control (93E35)

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