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SOLUTIONS AND DIAGNOSTICS OF SWITCHING PROBLEMS WITH LINEAR STATE DYNAMICS.
- Source :
-
ANZIAM Journal . Jan2016, Vol. 57 Issue 3, p339-351. 13p. - Publication Year :
- 2016
-
Abstract
- Optimal control problems of stochastic switching type appear frequently when making decisions under uncertainty and are notoriously challenging from a computational viewpoint. Although numerous approaches have been suggested in the literature to tackle them, typical real-world applications are inherently high dimensional and usually drive common algorithms to their computational limits. Furthermore, even when numerical approximations of the optimal strategy are obtained, practitioners must apply time-consuming and unreliable Monte Carlo simulations to assess their quality. In this paper, we show how one can overcome both difficulties for a specific class of discrete-time stochastic control problems. A simple and efficient algorithm which yields approximate numerical solutions is presented and methods to perform diagnostics are provided. [ABSTRACT FROM PUBLISHER]
Details
- Language :
- English
- ISSN :
- 14461811
- Volume :
- 57
- Issue :
- 3
- Database :
- Academic Search Index
- Journal :
- ANZIAM Journal
- Publication Type :
- Academic Journal
- Accession number :
- 113518664
- Full Text :
- https://doi.org/10.1017/S1446181115000279