Stochastic Optimal Multi-Modes Switching with a Viscosity Solution Approach
Brahim El AsriPublished in: CoRR (2011)
Keyphrases
- optimal solution
- optimal control
- closed form
- optimal control problems
- locally optimal
- linear equations
- optimal or near optimal
- control policies
- dynamic programming
- control policy
- hidden markov models
- learning automata
- stochastic model
- stochastic dynamic programming
- state dependent
- learning automaton
- exact solution
- optimal design
- minimum cost
- integer programming
- linear program
- mathematical model
- worst case
- upper bound
- np hard
- multi objective