NDLI: Pathwise Stochastic Optimal Control

Content Provider	Society for Industrial and Applied Mathematics (SIAM)
Author	Rogers, L. C. G.
Copyright Year	2007
Abstract	This paper approaches optimal control problems for discrete-time controlled Markov processes by representing the value of the problem in a dual Lagrangian form; the value is expressed as an infimum over a family of Lagrangian martingales of an expectation of a pathwise supremum of the objective adjusted by the Lagrangian martingale term. This representation opens up the possibility of numerical methods based on Monte Carlo simulation, which may be advantageous in high-dimensional problems or in problems with complicated constraints.
Starting Page	1116
Ending Page	1132
Page Count	17
File Format	PDF
ISSN	03630129
DOI	10.1137/050642885
e-ISSN	10957138
Issue Number	3
Volume Number	46
Language	English
Publisher	Society for Industrial and Applied Mathematics
Publisher Date	2007-08-29
Access Restriction	Subscribed
Subject Keyword	Optimality conditions, duality dual Optimal stochastic control deterministic dynamic programming Other computational methods stochastic Dynamic programming pathwise optimization Markov and semi-Markov decision processes
Content Type	Text
Resource Type	Article
Subject	Control and Optimization Applied Mathematics

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