Abstract-- The authors have extended deterministic portHamiltonian systems into stochastic dynamical systems which are described by stochastic differential equations written in the...
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...
Previously, idempotent methods have been found to be extremely fast for solution of dynamic programming equations associated with deterministic control problems. The original meth...
Discrete-time optimal control problems arise naturally in many economic problems. Despite the rapid growth in computing power and new developments in the literature, many economic...