An Iterative Procedure for Constructing Subsolutions of Discrete-Time Optimal Control Problems
نویسنده
چکیده
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, 90C39, 90C40, 93E20.
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عنوان ژورنال:
- SIAM J. Control and Optimization
دوره 49 شماره
صفحات -
تاریخ انتشار 2011