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Representation Formulas for Limit Values of Long Run Stochastic Optimal Controls.
Rainer Buckdahn
Juan Li
Marc Quincampoix
Jérôme Renault
Published in:
SIAM J. Control. Optim. (2020)
Keyphrases
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long run
expected cost
average cost
short run
control policy
average reward
periodic review
optimal policy
infinite horizon
single item
queueing networks
dynamic programming
state dependent
monte carlo
real numbers
heavy traffic
mathematical formulas
optimal solution