Dynamics Aggregation in Stochastic Control Problems

Andrzej Ruszczynski ()

Journal of Optimization Theory and Applications, 2000, vol. 105, issue 3, No 10, 639-658

Abstract: Abstract For stochastic control problems with mixed state-control constraints, we develop a dynamics aggregation method which replaces the stochastic differential or difference equation with a simpler constraint. Solutions of such simplified problems are used to construct a sequence of approximations to the original problem. Convergence properties of the method for both discrete-time and continuous-time models are analyzed in detail.

Keywords: stochastic control; state-control constraints; constraint aggregation; vector space methods (search for similar items in EconPapers)
Date: 2000
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DOI: 10.1023/A:1004697208384

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