An improved algorithm for the non-iterative solution of the discrete-time finite-horizon LQ control problem with fixed final state.

Published in: CDC (2006)

Keyphrases

finite horizon
infinite horizon
optimal control
optimal stopping
control system
inventory control
control policies
single product
optimal policy
multistage
state space
inventory models
state variables
markov decision process
optimal solution
integer programming
markov chain
stochastic processes
probabilistic model