Series Solution of Stochastic Dynamic Programming Equations
| Autor: | Arthur J. Krener |
|---|---|
| Rok vydání: | 2020 |
| Předmět: |
Large class
Stochastic control Series (mathematics) Degree (graph theory) MathematicsofComputing_NUMERICALANALYSIS Stochastic programming Dynamic programming symbols.namesake Discrete time and continuous time Control and Systems Engineering ComputingMethodologies_SYMBOLICANDALGEBRAICMANIPULATION Taylor series symbols Applied mathematics Mathematics |
| Zdroj: | IFAC-PapersOnLine. 53:2165-2170 |
| ISSN: | 2405-8963 |
| DOI: | 10.1016/j.ifacol.2020.12.2544 |
| Popis: | In this paper we consider discrete time stochastic optimal control problems over infinite and finite time horizons. We show that for a large class of such problems the Taylor polynomials of the solutions to the associated Dynamic Programming Equations can be computed degree by degree. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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