Numerical aspects of monotone approximations in convex stochastic control problems
type: Item
instance of: scholarly article
title: Numerical aspects of monotone approximations in convex stochastic control problems
zbMATH Open document ID: 0832.93062
DOI: 10.1007/BF02031704
author: C. Piovesan
author: Wolfgang J. Runggaldier
author: Onésimo Hernández-Lerma
published in: Annals of Operations Research
publication date: 1996-03-13T00:00:00Z
review text: In an earlier article by the first and third authors [J. Math. Syst. Estim. Control 4, 99-140 (1994; Zbl 0812.93078)] an approximation technique is described for convex, discrete time stochastic control problems. Here, the accuracy of these techniques is tested on the linear quadratic control problem and on an inventory control problem.
reviewed by: Michael Kohlmann
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 790994
zbMATH Keywords: approximation
zbMATH Keywords: convex
zbMATH Keywords: discrete time
zbMATH Keywords: stochastic control
zbMATH Keywords: linear quadratic
MaRDI profile type: Publication
cites work: Q3795523
cites work: Designing approximation schemes for stochastic optimization problems, in particular for stochastic programs with recourse
cites work: Q4324879
cites work: Bounds on the Expectation of a Convex Function of a Random Variable: With Applications to Stochastic Programming
cites work: Solving stochastic programming problems with recourse including error bounds
cites work: Q3818131
full work available at URL: https://doi.org/10.1007/bf02031704
OpenAlex ID: W1992720957
description: scientific article; zbMATH DE number 790994