On the policy improvement algorithm in continuous time
| Autor: | Saul D. Jacka, Aleksandar Mijatović |
|---|---|
| Rok vydání: | 2016 |
| Předmět: |
general controls
Statistics and Probability Stochastic control Mathematical optimization Discretization general state space Probability (math.PR) 010102 general mathematics Context (language use) Weak formulation 01 natural sciences 010104 statistics & probability Compact space Simple (abstract algebra) Modeling and Simulation FOS: Mathematics 93E20 60J60 policy improvement algorithm Stochastic control in continuous time 0101 mathematics Control (linguistics) Algorithm Mathematics - Probability Mathematics |
| Zdroj: | Jacka, S D & Mijatovic, A 2016, ' On the policy improvement algorithm in continuous time ', Stochastics . https://doi.org/10.1080/17442508.2016.1187609 |
| ISSN: | 1744-2516 1744-2508 |
| DOI: | 10.1080/17442508.2016.1187609 |
| Popis: | We develop a general approach to the Policy Improvement Algorithm (PIA) for stochastic control problems for continuous-time processes. The main results assume only that the controls lie in a compact metric space and give general sufficient conditions for the PIA to be well-defined and converge in continuous time (i.e. without time discretisation). It emerges that the natural context for the PIA in continuous time is weak stochastic control. We give examples of control problems demonstrating the need for the weak formulation as well as diffusion-based classes of problems where the PIA in continuous time is applicable. Comment: 12 pages, no figures |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|