Convex duality approach to the optimal control of diffusions
SIAM Journal on Control and Optimization
The complexity of dynamic programming
Journal of Complexity
Markov Decision Processes: Discrete Stochastic Dynamic Programming
Markov Decision Processes: Discrete Stochastic Dynamic Programming
Pathwise Stochastic Optimal Control
SIAM Journal on Control and Optimization
Nonlinear Optimal Control via Occupation Measures and LMI-Relaxations
SIAM Journal on Control and Optimization
Subsolutions of an Isaacs Equation and Efficient Schemes for Importance Sampling
Mathematics of Operations Research
An Information-Based Approximation Scheme for Stochastic Optimization Problems in Continuous Time
Mathematics of Operations Research
Regression Methods for Stochastic Control Problems and Their Convergence Analysis
SIAM Journal on Control and Optimization
Distributed dynamic programming for discrete-time stochastic control, and idempotent algorithms
Automatica (Journal of IFAC)
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An iterative procedure for constructing subsolutions of deterministic or stochastic optimal control problems in discrete time with continuous state space is introduced. The procedure generates a nondecreasing sequence of subsolutions, giving true lower bounds on the minimal costs. Convergence of the values at any fixed initial state is shown.