Optimal Singular Control Problem in Infinite Horizon for Stochastic Processes with Regime-Switching.
Qian FengJinghai ShaoPublished in: SIAM J. Control. Optim. (2021)
Keyphrases
- optimal control
- infinite horizon
- stochastic processes
- brownian motion
- finite horizon
- dynamic programming
- stochastic demand
- stochastic process
- single item
- control strategy
- inventory policy
- average cost
- optimal policy
- probability distribution
- reinforcement learning
- holding cost
- random variables
- fixed cost
- lead time
- lost sales
- markov decision processes
- long run
- random fields
- control system
- model selection
- asymptotically optimal
- markov chain
- markov decision process
- maximum likelihood
- graphical models
- higher order