Control of Diffusions via Linear Programming

Part of the International Series in Operations Research & Management Science book series (ISOR, volume 150)


This chapter presents an approach that leverages linear programming to approximate optimal policies for controlled diffusion processes, possibly with high-dimensional state and action spaces. The approach fits a linear combination of basis functions to the dynamic programming value function; the resulting approximation guides control decisions. Linear programming is used here to compute basis function weights. This builds on the linear programming approach to approximate dynamic programming, previously developed in the context of discrete-time stochastic control.


Portfolio Optimization Convex Quadratic Program Linear Programming Approach Portfolio Optimization Problem Portfolio Strategy 
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© Springer Science+Business Media, LLC 2010

Authors and Affiliations

  1. 1.Department of Management Science and EngineeringStanford UniversityStanfordUSA

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