Error estimates for approximate solutions to Bellman equations associated with controlled jump-diffusions.
Espen R. JakobsenKenneth H. KarlsenClaudia La ChiomaPublished in: Numerische Mathematik (2008)
Keyphrases
- approximate solutions
- error estimates
- error estimation
- cross validation
- np hard
- exact solution
- optimal solution
- error analysis
- provably correct
- markov chain
- hard optimization problems
- linear program
- anisotropic diffusion
- differential equations
- model selection
- energy function
- brownian motion
- vector valued
- linear programming
- knowledge acquisition
- active contours
- upper bound
- special case
- expert systems
- learning algorithm
- particle swarm optimization