Dynamic consistency for stochastic optimal control problems
نویسندگان
چکیده
منابع مشابه
Dynamic consistency for stochastic optimal control problems
For a sequence of dynamic optimization problems, we aim at discussing a notion of consistency over time. This notion can be informally introduced as follows. At the very first time step t0, the decision maker formulates an optimization problem that yields optimal decision rules for all the forthcoming time step t0, t1, . . . , T ; at the next time step t1, he is able to formulate a new optimiza...
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ژورنال
عنوان ژورنال: Annals of Operations Research
سال: 2011
ISSN: 0254-5330,1572-9338
DOI: 10.1007/s10479-011-1027-8