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Computational Methods for Controlled Markov Chains

  • Harold J. Kushner
  • Paul G. Dupuis
Part of the Applications of Mathematics book series (SMAP, volume 24)

Abstract

The chapter presents many of the basic ideas which are in current use for the solution of the dynamic programming equations for the optimal control and value function for the approximating Markov chain models. We concentrate on methods for problems which are of interest over a potentially unbounded time interval. Numerical methods for the ergodic problem will be discussed in Chapter 7, and are simple modifications of the ideas of this chapter. Some approaches to the numerical problem for the finite time problem will be discussed in Chapter 12.

Keywords

State Space Coarse Grid Multigrid Method Policy Space Basic Feasible Solution 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag New York, Inc. 1992

Authors and Affiliations

  • Harold J. Kushner
    • 1
  • Paul G. Dupuis
    • 1
  1. 1.Division of Applied MathematicsBrown UniversityProvidenceUSA

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