An Iterative Procedure for Constructing Subsolutions of Discrete-Time Optimal Control Problems
نویسندگان
چکیده
منابع مشابه
An Iterative Procedure for Constructing Subsolutions of Discrete-Time Optimal Control Problems
An iterative procedure for constructing subsolutions of deterministic or stochastic optimal control problems in discrete time with continuous state space is introduced. The procedure generates a non-decreasing sequence of subsolutions, giving true lower bounds on the minimal costs. Convergence of the values at any fixed initial state is shown. 2000 AMS subject classifications: 60J05, 90-08, 90C...
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ژورنال
عنوان ژورنال: SIAM Journal on Control and Optimization
سال: 2011
ISSN: 0363-0129,1095-7138
DOI: 10.1137/100803493