Linearisation techniques and the dual algorithm for a class of mixed singular/continuous control problems in reinsurance. Part II: Numerical aspects.
Dan GoreacJuan LiPangbo WangBoxiang XuPublished in: Appl. Math. Comput. (2024)
Keyphrases
- control problems
- dynamic programming
- multi class classification
- probabilistic model
- optimization algorithm
- detection algorithm
- mathematical model
- continuous state spaces
- search space
- simulated annealing
- real time
- expectation maximization
- linear programming
- multi robot
- computational complexity
- objective function
- learning algorithm