Duality and lower bounds in optimal stochastic control
作者:
SHINJI TANIMOTO,
期刊:
International Journal of Systems Science
(Taylor Available online 1994)
卷期:
Volume 25,
issue 8
页码: 1365-1372
ISSN:0020-7721
年代: 1994
DOI:10.1080/00207729408949283
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
A dual problem is proposed for an optimal stochastic control problem whose dynamical system is described by a linear stochastic differential equation. Relationships between the extreme values of the original and dual problems are discussed and two duality theorems are obtained The dual problem furnishes lower bounds for the extreme value of the original problem.
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