Computable Primal and Dual Bounds for Stochastic Control.

Chunxi Jiao Reiichiro Kawai

Published in: SIAM J. Control. Optim. (2020)

Keyphrases

duality gap
stochastic control
primal dual
dual formulation
optimal control
queueing systems
operations management
control problems
brownian motion
dual variables
linear programming
linear program
optimal solution
dynamic programming
support vector
lower bound