摘要:

Three techniques are described for solving completely observable stochastic control problems. Known optimality conditions are used to develop gradient–type algorithms. Numerical results are presented for illustration and comparison purposes

ISSN:0736-2994    

DOI:10.1080/07362998708809110

出版商:Marcel Dekker, Inc.    

年代:1987

数据来源: Taylor

摘要:

In this paper we consider a random nonlinear operator equation and its approximations on finite dimensional subspaces. We prove the weak compactness of distributions of the approximate solutions under some ‘inverse stability’ type condition on the approximating operators In the last section we give applications of the main result to random integral and differential equations

ISSN:0736-2994    

DOI:10.1080/07362998708809111

出版商:Marcel Dekker, Inc.    

年代:1987

数据来源: Taylor

摘要:

In this paper we give representations of the solution of 1–dimensional stochastic differential equation (SDE for short) with reflecting barrieres. To this we construct the solution of deterministic Skorohod equation with two reflecting boundaries and show which can be expressed by the operator “sup inf”. Then the solution of given SDE can be represented by a form that depend on a reflecting Brownian motion determined by solving the deterministic Skorohod eqyation

ISSN:0736-2994    

DOI:10.1080/07362998708809112

出版商:Marcel Dekker, Inc.    

年代:1987

数据来源: Taylor

摘要:

This paper is concerned with optimal policy approximations based on asymptotic renewal theory, and their accuracy conditions, for a class of periodic-review inventory systems We compare the performances of two such approximations with those of the optimal policies using a wide range of demand distributions and parameter settings

ISSN:0736-2994    

DOI:10.1080/07362998708809113

出版商:Marcel Dekker, Inc.    

年代:1987

数据来源: Taylor

摘要:

This paper is concerned with the properties of piecewise linear discrete-time dynamic systems driven by white Gaussian noise. The properties of the deterministic system are explored, and condition for the existence of invariant distributions are derived. The existence of an invariant distribution was then used to justify the approximation of the stochastic system by a switched Markov linear model if the piecewise linear regions are large “contracting” ones or small “expanding” ones relative to the input noise variance. The approach is expected to be useful for constructing approximate nonlinear filtering schemes for such systems

ISSN:0736-2994    

DOI:10.1080/07362998708809114

出版商:Marcel Dekker, Inc.    

年代:1987

数据来源: Taylor

ISSN:0736-2994    

DOI:10.1080/07362998708809109

出版商:Marcel Dekker, Inc.    

年代:1987

数据来源: Taylor