27 search results - page 3 / 6 » On the convergence of stochastic dual dynamic programming an... |
HYBRID
2004
Springer
14 years 1 months ago
2004
Springer
We present a parameter inference algorithm for autonomous stochastic linear hybrid systems, which computes a maximum-likelihood model, given only a set of continuous output data of...
CDC
2010
IEEE
13 years 2 months ago
2010
IEEE
Most existing work uses dual decomposition and subgradient methods to solve Network Utility Maximization (NUM) problems in a distributed manner, which suffer from slow rate of con...
CDC
2010
IEEE
13 years 2 months ago
2010
IEEE
We consider the classical finite-state discounted Markovian decision problem, and we introduce a new policy iteration-like algorithm for finding the optimal state costs or Q-facto...
SIAMCO
2011
12 years 10 months ago
2011
Abstract. We prove a weak version of the dynamic programming principle for standard stochastic control problems and mixed control-stopping problems, which avoids the technical di�...
AUTOMATICA
2006
13 years 7 months ago
2006
This paper examines a problem related to the optimal risk management of banks in a stochastic dynamic setting. In particular, we minimize7 market and capital adequacy risk that in...