An Approximated Solution to Continuous-Time Stochastic Optimal Control Problems Through Markov Decision Chains

Strategies for constructing a Markov decision chain approximating a continuous-time finite-horizon optimal control problem are investigated. Some simple, analytically soluble, examples are treated and low computational complexity is reported. Extensions to the method and implementation are discussed. In particular, relevance of the approximated solution to a stochastic renewable resource valuation problem is examined

MoreLess

Year of publication:	1998
Authors:	Krawczyk, Jacek B. ; Windsor, Alistair
Publisher:	[S.l.] : SSRN
Subject:	Kontrolltheorie \| Control theory \| Markov-Kette \| Markov chain \| Stochastischer Prozess \| Stochastic process \| Mathematische Optimierung \| Mathematical programming

freely available

Full text |

More access options

doi.org

Check Google Scholar

In German libraries (KVK)

I need help

Extent:	1 Online-Ressource (37 p)
Type of publication:	Book / Working Paper
Language:	English
Other identifiers:	10.2139/ssrn.61170 [DOI]
Classification:	C8 - Data Collection and Data Estimation Methodology; Computer Programs ; C63 - Computational Techniques ; D92 - Intertemporal Firm Choice and Growth, Investment, or Financing ; C87 - Econometric Software ; Q25 - Water
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014068827