On general optimal stopping problems using penalty method
نویسندگان
چکیده
منابع مشابه
Optimal Stopping Problems
In the last lecture, we have analyzed the behavior of TD(λ) for approximating the costtogo function in autonomous systems. Recall that much of the analysis was based on the idea of sampling states according to their stationary distribution. This was done either explicitly, as was assumed in approximate value iteration, or implicitly through the simulation or observation of system trajectories...
متن کاملOn approximative solutions of optimal stopping problems
In this paper some extensions are given of the method to approximate optimal discrete time stopping problems by related limiting stopping problems for Poisson type processes. In particular we establish detailed results for the solutions of the differential equations characterizing the optimal stopping curves in the limiting stopping problem. These allow to determine explicit approximative optim...
متن کاملOn Some Optimal Stopping Problems with Constraint
We consider the optimal stopping problem of a Markov process {xt : t ≥ 0} when the controller is allowed to stop only at the arrival times of a signal, that is, at a sequence of instants {τn : n ≥ 1} independent of {xt : t ≥ 0}. We solve in detail this problem for general Markov– Feller processes with compact state space when the interarrival times of the signal are independent identically dist...
متن کاملAn L1 Penalty Method for General Obstacle Problems
We construct an efficient numerical scheme for solving obstacle problems in divergence form. The numerical method is based on a reformulation of the obstacle in terms of an L1-like penalty on the variational problem. The reformulation is an exact regularizer in the sense that for a large (but finite) penalty parameter, we recover the exact solution. Our formulation is applied to classical ellip...
متن کاملA constructive interior penalty method for optimal control problems
This paper exposes a methodology which allows us to address constrained optimal control of non linear systems by interior penalty methods. A constructive choice for the penalty functions that are introduced to account for the constraints is established in the article. It is shown that it allows us to approach the solution of the non linear optimal control problem using a sequence of unconstrain...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Demonstratio Mathematica
سال: 2012
ISSN: 2391-4661
DOI: 10.1515/dema-2013-0385