Abstract
We consider here a stochastic discrete minimax control problem with infinite horizon. We prove the existence of solution, we characterize it and we present iterative methods to compute it numerically.
Preview
Unable to display preview. Download preview PDF.
Similar content being viewed by others
References
Borkar V.S.: Topics in controlled Markov chains. Longman-Pitman, London, (1991)
Di Marco S.C.: Sobre la optimización minimax y tiempos de detención óptimos. Thesis University of Rosario, Argentine (1996)
Di Marco S.C.: On the numerical solution of minimax optimal control problem with infinite horizon. (Work in progress)
Di Marco S.C., González R.L.V.: Minimax optimal control problem — Infinite horizon case. (Work in progress)
Fleming W.H., Rishel R.W.: Deterministic and stochastic optimal control. Springer-Verlag, New York, (1975)
Fleming W.H., Soner H.M.: Controlled Markov processes and viscosity solutions. Springer-Verlag, New York, (1993)
González R.L.V., Sagastizábal C.A: Un algorithme pour la résolution rapide d'équations discrètes de Hamilton-Jacobi-Bellman. Comptes Rendus Acad. Sc. Paris, Série I Tome 311 (1990) 45–50
Kushner H.J.: Probability methods for approximations in stochastic control and for elliptic equations. Academic Press, New York, (1977)
Kushner H.J., Dupuis P.G.: Numerical methods for stochastic control problems in continuous time. Springer-Verlag, New York, (1992)
Romanovsky V.I.: Discrete Markov chains. Walters-Noordhoff, Groningen, The Netherlands, (1970)
Ross S.M.: Applied probability models with optimization applications. Holden-Day, San Francisco, (1970)
Ross S.M.: Introduction to stochastic dynamic programming. Academic Press, New York, (1983)
Author information
Authors and Affiliations
Editor information
Rights and permissions
Copyright information
© 1997 Springer-Verlag Berlin Heidelberg
About this paper
Cite this paper
Marco, S.C.D., González, R.L.V. (1997). A finite state stochastic minimax optimal control problem with infinite horizon. In: Vulkov, L., Waśniewski, J., Yalamov, P. (eds) Numerical Analysis and Its Applications. WNAA 1996. Lecture Notes in Computer Science, vol 1196. Springer, Berlin, Heidelberg. https://doi.org/10.1007/3-540-62598-4_87
Download citation
DOI: https://doi.org/10.1007/3-540-62598-4_87
Published:
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-62598-8
Online ISBN: 978-3-540-68326-1
eBook Packages: Springer Book Archive