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» Structural Properties of Stochastic Dynamic Programs
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IOR
2002
32views more  IOR 2002»
13 years 10 months ago
Structural Properties of Stochastic Dynamic Programs
James E. Smith, Kevin F. McCardle
CDC
2010
IEEE
117views Control Systems» more  CDC 2010»
13 years 6 months ago
A symmetric structure of variational and adjoint systems of stochastic Hamiltonian systems
Abstract-- The authors have extended deterministic portHamiltonian systems into stochastic dynamical systems which are described by stochastic differential equations written in the...
Satoshi Satoh, Kenji Fujimoto
CDC
2010
IEEE
139views Control Systems» more  CDC 2010»
13 years 6 months ago
Q-learning and enhanced policy iteration in discounted dynamic programming
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...
Dimitri P. Bertsekas, Huizhen Yu
AUTOMATICA
2011
13 years 6 months ago
Distributed dynamic programming for discrete-time stochastic control, and idempotent algorithms
Previously, idempotent methods have been found to be extremely fast for solution of dynamic programming equations associated with deterministic control problems. The original meth...
William M. McEneaney
COR
2008
128views more  COR 2008»
13 years 11 months ago
Solving dynamic stochastic economic models by mathematical programming decomposition methods
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...
Mercedes Esteban-Bravo, Francisco J. Nogales