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An approximation method for stochastic control problems with partial observation of the state — a method for constructing ∈-optimal controls

✍ Scribed by A. Bensoussan; W. Runggaldier

Publisher
Springer Netherlands
Year
1987
Tongue
English
Weight
772 KB
Volume
10
Category
Article
ISSN
0167-8019

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📜 SIMILAR VOLUMES

Successive approximation methods for the
Successive approximation methods for the solution of optimal control problems
✍ S.K. Mitter 📂 Article 📅 1966 🏛 Elsevier Science 🌐 English ⚖ 801 KB

IN THIS paper we present some successive approximation methods for the solution of a general class of optimal control problems. The class of problems considered is known as the Bolxa Problem in the Calculus of Variations [l]. The algorithms considered are extensions of the gradient methods due to KE