Optimal Stochastic Switching under Convexity Assumptions

DOI10.1137/13091333XzbMath1292.93149OpenAlexW2085218742MaRDI QIDQ5494873

Juri Hinz

Publication date: 30 July 2014

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

Full work available at URL: https://doi.org/10.1137/13091333x

zbMATH Keywords

approximate dynamic programmingMarkov decisionleast squares Monte Carlo family

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Least squares and related methods for stochastic control systems (93E24) Optimal stochastic control (93E20)

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An algorithmic approach to optimal asset liquidation problems ⋮ Algorithms for Optimal Control of Stochastic Switching Systems ⋮ Efficient algorithms of pathwise dynamic programming for decision optimization in mining operations ⋮ SOLUTIONS AND DIAGNOSTICS OF SWITCHING PROBLEMS WITH LINEAR STATE DYNAMICS ⋮ Stochastic switching for partially observable dynamics and optimal asset allocation ⋮ Optimal decision policy for real options under general Markovian dynamics

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