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Discussion of dynamic programming and linear programming approaches to stochastic control and optimal stopping in continuous time

โœ Scribed by Stockbridge, R. H.

Book ID
121388564
Publisher
Springer
Year
2013
Tongue
English
Weight
330 KB
Volume
77
Category
Article
ISSN
0026-1335

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๐Ÿ“œ SIMILAR VOLUMES

Sensitivity of optimal control to final
Sensitivity of optimal control to final state specification by a combined continuation and nonlinear programming approach
โœ Oscar Rosen; Rein Luus ๐Ÿ“‚ Article ๐Ÿ“… 1989 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 784 KB

## To establish the sensitivity of final state specification on optimal control of nonlinear systems, the problems are transformed into finite dimensional optimization problems suitable for nonlinear programming (NLP). The optimal solution is found by solving a sequence of problems related by a co