On the Optimal Stochastic Impulse Control of Linear Diffusions.
Luis H. R. AlvarezJukka LempaPublished in: SIAM J. Control. Optim. (2008)
Keyphrases
- optimal control
- brownian motion
- linear quadratic
- optimal linear
- closed form
- control policies
- control problems
- stochastic control
- dynamic programming
- worst case
- monte carlo
- optimal solution
- piecewise linear
- closed form solutions
- control policy
- error tolerance
- state dependent
- grassmann manifold
- semi infinite programming
- simple linear
- locally optimal
- social networks
- control strategy
- image processing