Numerical Comparison of Controls and Verification of Optimality for Stochastic Control Problems

K. Helmes and R. H. Stockbridge
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K. Helmes: Humboldt University of Berlin
R. H. Stockbridge: University of Kentucky

Journal of Optimization Theory and Applications, 2000, vol. 106, issue 1, No 6, 107-127

Abstract: Abstract We provide two approaches to the numerical analysis of stochastic control problems. The analyses rely on linear programming formulations of the control problem and allow numerical comparison between controls and numerical verification of optimality. The formulations characterize the processes through the moments of the induced occupation measures. We deal directly with the processes rather than with some approximation to the processes. Excellent software is readily available, since the computations involve finite-dimensional linear programs.

Keywords: Stochastic control; linear programming; numerical comparisons; numerical verification; moments; bounded follower (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (3)

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DOI: 10.1023/A:1004659107996

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