On continuous-time discounted stochastic dynamic programming
type: Item
instance of: scholarly article
title: On continuous-time discounted stochastic dynamic programming
zbMATH Open document ID: 0728.90065
DOI: 10.1007/BF01442395
author: Kensuke Tanaka
author: Hang-Chin Lai
published in: Applied Mathematics and Optimization
publication date: 1991-01-01T00:00:00Z
review text: The paper deals with a continuous-time discounted dynamic programming problem in a Markov decision model. In detail, the aim of the paper is to study the relation between the original dynamic constrained problem and a Lagrangian-type programming problem. For this the Lagrangian function and a weak optimal solution are defined. Furthermore, assumptions are introduced under which both problems are equivalent. The Lagrangian duality theorem is presented at the end of the paper.
Mathematics Subject Classification ID: 90C15
Mathematics Subject Classification ID: 90C39
zbMATH DE Number: 4204119
zbMATH Keywords: continuous-time discounted dynamic programming
zbMATH Keywords: Markov decision
zbMATH Keywords: Lagrangian duality
reviewed by: Vlasta Kaňková
MaRDI profile type: Publication
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full work available at URL: https://doi.org/10.1007/bf01442395
OpenAlex ID: W2071854541
description: scientific article; zbMATH DE number 4204119