Dynamics aggregation in stochastic control problems

Authors
Ruszczynski, A
Citation
A. Ruszczynski, Dynamics aggregation in stochastic control problems, J OPTIM TH, 105(3), 2000, pp. 639-658
Citations number
13
Categorie Soggetti
Engineering Mathematics
Journal title
JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS
ISSN journal
00223239 → ACNP
Volume
105
Issue
3
Year of publication
2000
Pages
639 - 658
Database
ISI
SICI code
0022-3239(200006)105:3<639:DAISCP>2.0.ZU;2-2
Abstract
For stochastic control problems with mixed state-control constraints, we de velop a dynamics aggregation method which replaces the stochastic different ial or difference equation with a simpler constraint. Solutions of such sim plified problems are used to construct a sequence of approximations to the original problem. Convergence properties of the method for both discrete-ti me and continuous-time models are analyzed in detail.