NEW THEORETICAL FRAMEWORK FOR FINITE HORIZON STOCHASTIC CONTROL.

Steve Shreve, Dimitri Bertsekas

Research output: Contribution to conferencePaperpeer-review

Abstract

This paper analyzes a stochastic optimal control problem over a finite horizon. The measure theoretic questions arising from an uncountable disturbance space are resolved so that the dynamic programming algorithm can be defined and employed to construct optimal and nearly optimal policies.

Original languageEnglish (US)
Pages636-643
Number of pages8
StatePublished - 1976
Externally publishedYes
EventProc Annu Allerton Conf Circuit Syst Theory 14th - Monticello, IL, USA
Duration: Sep 29 1976Oct 1 1976

Other

OtherProc Annu Allerton Conf Circuit Syst Theory 14th
CityMonticello, IL, USA
Period9/29/7610/1/76

ASJC Scopus subject areas

  • Engineering(all)

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