Optimal control of a one-dimensional storage process
type: Item
instance of: scholarly article
title: Optimal control of a one-dimensional storage process
zbMATH Open document ID: 0572.90021
DOI: 10.1007/BF01442206
author: H. Mete Soner
published in: Applied Mathematics and Optimization
publication date: 1985-01-01T00:00:00Z
review text: The author considers the discounted and ergodic control problems related to a one-dimensional storage process. He used feedback strategies and shows that, under mild conditions, the value function is differentiable and satisfies an integro-differential equation with boundary condition (Bellman equation). Moreover an optimal strategy \(\pi^*\) is derived by measurable selection and the origin is reachable under \(\pi^*\). The ergodic control is related to the limit of discounted control, as the discount factor tends to 0.
Mathematics Subject Classification ID: 90B05
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 45J05
zbMATH DE Number: 3914035
zbMATH Keywords: controlled jump process
zbMATH Keywords: discounted and ergodic control problems
zbMATH Keywords: one- dimensional storage process
zbMATH Keywords: feedback strategies
zbMATH Keywords: Bellman equation
zbMATH Keywords: optimal strategy
zbMATH Keywords: measurable selection
Wikidata QID: Q57636112
reviewed by: Makiko Nisio
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 3914035